A note on the asymptotic distribution of the maximum likelihood estimator in a non-regular case

Takayuki Fujii

Statistics & Probability Letters, 2007, vol. 77, issue 16, 1622-1627

Abstract: We consider the asymptotic distribution of the maximum likelihood estimator (MLE), when the log-likelihood ratio statistic weakly converges to the non-degenerated Gaussian process. We provide a simple expression for the density function of the asymptotic distribution by fundamental stochastic results. This note is helpful to investigate asymptotic properties of the MLE in a certain non-regular case.

Keywords: Non-regular; statistical; estimation; Asymptotic; distribution; Maximum; likelihood; estimator; Log-likelihood; ratio; statistics; Location; of; the; maximum (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (2)

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