Asymptotic properties of maximum weighted likelihood estimators

By Xiaogang Wang, C. Eeden, James V. Zidek. 2004

67 citations recorded by the source corpus.

The relevance weighted likelihood method was introduced by Hu and Zidek (Technical Report No. 161, Department of Statistics, The University of British Columbia, Vancouver, BC, Canada, 1995) to formally embrace a variety of statistical procedures for trading bias for precision. Their approach combines all relevant information through a weighted version of the likelihood function. The present paper is concerned with the asymptotic properties of a class of maximum weighted likelihood estimators that contains those considered by Hu and Zidek (Technical Report No. 161, Department of Statistics, The University of British Columbia, Vancouver, BC, Canada, 1995, in: Ahmed, S.E. Reid, N. (Eds.), Empirical Bayes and Likelihood Inference, Springer, New York, 2001, p. 211). Our results complement those of Hu (Can. J. Stat. 25 (1997) 45). In particular, we invoke a different asymptotic paradigm than that in Hu (Can. J. Stat. 25 (1997) 45). Moreover, our adaptive weights are allowed to depend on the data.

Subfields: Artificial Intelligence, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/d6524d8cb4d8e5853abdfe7119999d8940ed83db

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Artificial Intelligence

1. Davide Ferrari
2. Yuhong Yang
3. James V. Zidek
4. Xiaogang Wang
5. Lucien Birgé
6. Xinyu Zhang
7. Guohua Zou
8. Kyunghyun Cho

In Management Science and Operations Research

1. Yuhong Yang
2. Davide Ferrari
3. Xiaogang Wang
4. Giuseppe De Luca
5. J. R. Magnus

In Statistics and Probability

1. Davide Ferrari
2. Yuhong Yang
3. James V. Zidek
4. Xiaogang Wang
5. Lucien Birgé
6. Xinyu Zhang
7. Jing Lei
8. Guohua Zou

Citations in the corpus

• Maximum Lq-likelihood estimation. (2010, methodology): “The simple but illuminating case of an exponential distribution will be used as a recurrent example in the course of the paper.”
• Selecting likelihood weights by cross-validation (2005, background): “Like the MLE, the WLE has a number of desirable properties [Hu and Zidek (2002)], in particular consistency and asymptotic normality under reasonable general conditions [Hu (1997) and Wang, van Eeden and Zidek (2004)].”