论文信息 - CONSISTENCY OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN THE PRESENCE OF INFINITELY MANY INCIDENTAL PARAMETERS

CONSISTENCY OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN THE PRESENCE OF INFINITELY MANY INCIDENTAL PARAMETERS

0 and ai. The parameter 0, upon which all the distributions depend, is called "structural"; the parameters {aiI} are called "incidental". Throughout this paper we shall assume that the Xi, are independently distributed when 0, a1, *** a., are given, and shall consider the problem of consisteently estimating 0 (as n --* X ). The chance variables {Xij} and the parameters 0 and {fa} may be vectors. However, for simplicity of exposition we shall throughout this paper, except in Example 2, assume that they are scalars. Obvious changes will suffice to treat the vector case. Very many interesting problems are subsumed under the above formulation. Among these is the following:

J. Kiefer | J. Wolfowitz

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