Abstract
We study the convergence rate of the distributions of normalized maximum likelihood estimators defined by a parametric family of discontinuous multidimensional densities in the case of a vector parameter.
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Borisov, I.S., Mironov, D.V. Convergence Rate of the Distributions of Normalized Maximum Likelihood Estimators for Irregular Parametric Families. Siberian Mathematical Journal 44, 411–427 (2003). https://doi.org/10.1023/A:1023804612877
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DOI: https://doi.org/10.1023/A:1023804612877