Asymptotics of Monte Carlo maximum likelihood estimators
Methodology
2016-12-08 v1
Abstract
We describe Monte Carlo approximation to the maximum likelihood estimator in models with intractable norming constants and explanatory variables. We consider both sources of randomness (due to the initial sample and to Monte Carlo simulations) and prove asymptotical normality of the estimator.
Keywords
Cite
@article{arxiv.1412.6371,
title = {Asymptotics of Monte Carlo maximum likelihood estimators},
author = {Blazej Miasojedow and Wojciech Niemiro and Jan Palczewski and Wojciech Rejchel},
journal= {arXiv preprint arXiv:1412.6371},
year = {2016}
}