Stepwise BAN estimators for exponential families with multivariate normal applications

Allan R. Sampson

Journal of Multivariate Analysis, 1976, vol. 6, issue 1, 167-175

Abstract: Consistent, asymptotically efficient and asymptotically normal stepwise estimators are given for a subclass of the uniparametric and multiparametric exponential families. The estimators are derived by using the Robbins-Monro stochastic approximation procedure with certain families of random variables arising from the normalized log-likelihood. Considered in detail are three multivariate normal examples where the maximum likelihood estimators are not tractable.

Keywords: Estimation; Exponential; Family; Stochastic; Approximation (search for similar items in EconPapers)
Date: 1976
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