Charles J. Geyer Colloquium

Monday, November 21, 2005

"Le Cam Made Simple: Asymptotics of Maximum Likelihood without the LLN or CLT or Sample Size Going to Infinity"
Charles J. Geyer
Department of Statistics
University of Minnesota

If the log likelihood is approximately quadratic with constant Hessian, then the maximum likelihood estimator (MLE) is approximately normally distributed. No other assumptions are required. We do not need independent and identically distributed data. We do not need the law of large numbers (LLN) or the central limit theorem (CLT). We do not need sample size going to infinity or anything going to infinity. The theory presented here is a combination of Le Cam style involving local asymptotic normality (LAN) and local asymptotic mixed normality (LAMN) and Cramér style involving derivatives and Fisher information. The main tool is convergence in law of the log likelihood function and its derivatives considered as random elements of a Polish space of continuous functions with the metric of uniform convergence on compact sets. We obtain results for both one-step-Newton estimators and Newton-iterated-to-convergence estimators. Keywords: Locally asymptotically normal (LAN), Maximum likelihood, Newton's method, No-n asymptotics, Parametric bootstrap, Quadraticity.