An Asymptotic Framework for Closed-Form Estimators from Surrogate Estimating Equations

Abstract

Many statistical estimators, including maximum likelihood and method of moments estimators, are defined as roots of estimating equations. In complex models, these equations often cannot be solved explicitly; although numerical methods can provide approximate solutions, closed-form approximations can reduce computation and facilitate theoretical analysis by making an estimator's dependence on the data more transparent. In this paper, we develop a general approach to constructing such approximations and a framework for quantifying their accuracy. Our theory accommodates sequences of parameters that approach the boundary of the parameter space or diverge to infinity, and provides conditions under which a closed-form approximate estimator has the same first-order asymptotic distribution as its exact counterpart. We focus on approximations to maximum likelihood estimators, although the theory applies to general estimating equations. We apply the framework to iid models from the gamma, zeta, von Mises, and generalized Pareto families, as well as to gamma regression. Together, these examples cover scalar and vector parameters, iid and non-iid settings, and normal and nonnormal asymptotic regimes. Each example is accompanied by a simulation study, and the gamma regression example also includes a real-world data application.