Near universal consistency of the maximum pseudolikelihood estimator for discrete models

作者：Nguyen Hien D^*

来源：Journal of the Korean Statistical Society, 2018, 47(1): 90-98.

DOI：10.1016/j.jkss.2017.10.001

• Consistency
• Discrete models
• Maximum pseudolikelihood estimation
• Nonparametrics

Maximum pseudolikelihood (MPL) estimators are useful alternatives to maximum likelihood (ML) estimators when likelihood functions are more difficult to manipulate than their marginal and conditional components. Furthermore, MPL estimators subsume a large number of estimation techniques including ML estimators, maximum composite marginal likelihood estimators, and maximum pairwise likelihood estimators. When considering only the estimation of discrete models (on a possibly countably infinite support), we show that a simple finiteness assumption on an entropy-based measure is sufficient for assessing the consistency of the MPL estimator. As a consequence, we demonstrate that the MPL estimator of any discrete model on a bounded support will be consistent. Our result is valid in parametric, semiparametric, and nonparametric settings.

• 出版日期2018-3