The Annals of Statistics

On methods of sieves and penalization

Xiaotong Shen

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Abstract

We develop a general theory which provides a unified treatment for the asymptotic normality and efficiency of the maximum likelihood estimates (MLE's) in parametric, semiparametric and nonparametric models. We find that the asymptotic behavior of substitution estimates for estimating smooth functionals are essentially governed by two indices: the degree of smoothness of the functional and the local size of the underlying parameter space. We show that when the local size of the parameter space is not very large, the substitution standard (nonsieve), substitution sieve and substitution penalized MLE's are asymptotically efficient in the Fisher sense, under certain stochastic equicontinuity conditions of the log-likelihood. Moreover, when the convergence rate of the estimate is slow, the degree of smoothness of the functional needs to compensate for the slowness of the rate in order to achieve efficiency. When the size of the parameter space is very large, the standard and penalized maximum likelihood procedures may be inefficient, whereas the method of sieves may be able to overcome this difficulty. This phenomenon is particularly manifested when the functional of interest is very smooth, especially in the semiparametric case.

Article information

Source
Ann. Statist. Volume 25, Number 6 (1997), 2555-2591.

Dates
First available in Project Euclid: 30 August 2002

Permanent link to this document
http://projecteuclid.org/euclid.aos/1030741085

Digital Object Identifier
doi:10.1214/aos/1030741085

Mathematical Reviews number (MathSciNet)
MR1604416

Zentralblatt MATH identifier
0895.62041

Subjects
Primary: 62G05: Estimation
Secondary: 62A10

Keywords
Asymptotic normality efficiency maximum likelihood estimation methods of sieves and penalization constraints substitution nonparametric and semiparametric models

Citation

Shen, Xiaotong. On methods of sieves and penalization. Ann. Statist. 25 (1997), no. 6, 2555--2591. doi:10.1214/aos/1030741085. http://projecteuclid.org/euclid.aos/1030741085.


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