Concentration inequalities of MLE and robust MLE

Xiaowei Yang, Xinqiao Liu and Haoyu Wei

Papers from arXiv.org

Abstract: The Maximum Likelihood Estimator (MLE) serves an important role in statistics and machine learning. In this article, for i.i.d. variables, we obtain constant-specified and sharp concentration inequalities and oracle inequalities for the MLE only under exponential moment conditions. Furthermore, in a robust setting, the sub-Gaussian type oracle inequalities of the log-truncated maximum likelihood estimator are derived under the second-moment condition.

Date: 2022-10, Revised 2022-12
New Economics Papers: this item is included in nep-ecm
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