Asymptotic exponential bounds for MLE deviation under minimal conditions via classical and generic chaining methods

Details Asymptotic exponential bounds for MLE deviation under minimal conditions via classical and generic chaining methods Asymptotic exponential bounds for MLE deviation under minimal conditions via classical and generic chaining methods

2009-03-24

arxiv.org/abs/0903.4062v1

Mathematics

Probability

Scientific paper

In this paper non-asymptotic exact exponential estimates are derived (under
minimal conditions) for the tail of deviation of the MLE distribution in the
so-called natural terms: natural function, natural distance, metric entropy,
Banach spaces of random variables, contrast function, majorizing measures or,
equally, generic chaining.

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