2000 character limit reached
Concentration inequalities of MLE and robust MLE (2210.09398v2)
Published 17 Oct 2022 in math.ST, econ.EM, and stat.TH
Abstract: The Maximum Likelihood Estimator (MLE) serves an important role in statistics and machine learning. In this article, for i.i.d. variables, we obtain constant-specified and sharp concentration inequalities and oracle inequalities for the MLE only under exponential moment conditions. Furthermore, in a robust setting, the sub-Gaussian type oracle inequalities of the log-truncated maximum likelihood estimator are derived under the second-moment condition.