960 on the Asymptotics of Constrained Local
نویسنده
چکیده
We discuss in this paper asymptotics of locally optimal solutions of maximum likelihood and, more generally,M-estimation procedures in cases where the true value of the parameter vector lies on the boundary of the parameter set S. We give a counterexample showing that regularity of S in the sense of Clarke is not sufficient for asymptotic equivalence of √ n-consistent locally optimal M-estimators. We argue further that stronger properties, such as so-called near convexity or prox-regularity of S are required in order to ensure that any two √ n-consistent locally optimal M-estimators have the same asymptotics.
منابع مشابه
Iterated Local Search Algorithm for the Constrained Two-Dimensional Non-Guillotine Cutting Problem
An Iterated Local Search method for the constrained two-dimensional non-guillotine cutting problem is presented. This problem consists in cutting pieces from a large stock rectangle to maximize the total value of pieces cut. In this problem, we take into account restrictions on the number of pieces of each size required to be cut. It can be classified as 2D-SLOPP (two dimensional single large o...
متن کاملSuperlinearly convergent exact penalty projected structured Hessian updating schemes for constrained nonlinear least squares: asymptotic analysis
We present a structured algorithm for solving constrained nonlinear least squares problems, and establish its local two-step Q-superlinear convergence. The approach is based on an adaptive structured scheme due to Mahdavi-Amiri and Bartels of the exact penalty method of Coleman and Conn for nonlinearly constrained optimization problems. The structured adaptation also makes use of the ideas of N...
متن کاملAsymptotics for the infinite time ruin probability of a dependent risk model with a constant interest rate and dominatedly varying-tailed claim sizes
This paper mainly considers a nonstandard risk model with a constant interest rate, where both the claim sizes and the inter-arrival times follow some certain dependence structures. When the claim sizes are dominatedly varying-tailed, asymptotics for the infinite time ruin probability of the above dependent risk model have been given.
متن کاملFree and constrained equilibrium states in a variational problem on a surface
We study the equilibrium states for an energy functional with a parametric force field on a region of a surface. Consideration of free equilibrium states is based on Lyusternik - Schnirelman's and Skrypnik's variational methods. Consideration of equilibrium states under a constraint of geometrical character is based on an analog of Skrypnik's method, described in [P. Vyridis, {it Bifurcation in...
متن کاملAsymptotics of Input-Constrained Erasure Channel
In this paper, we examine an input-constrained erasure channel and we characterize the asymptotics of its capacity when the erasure rate is low. More specifically, for a general memoryless erasure channel with its input supported on an irreducible finite-type constraint, we derive partial asymptotics of its capacity, using some series expansion type formulas of its mutual information rate; and ...
متن کامل