Maximum Ideal Likelihood Estimator: An New Estimation and Inference Framework for Latent Variable Models (2410.01194v1)

Abstract: In this paper, a new estimation framework, Maximum Ideal Likelihood Estimator (MILE), is proposed for general parametric models with latent variables and missing values. Instead of focusing on the marginal likelihood of the observed data as in many traditional approaches, the MILE directly considers the joint distribution of the complete dataset by treating the latent variables as parameters (the ideal likelihood). The MILE framework remains valid, even when traditional methods are not applicable, e.g., non-finite conditional expectation of the marginal likelihood function, via different optimization techniques and algorithms. The statistical properties of the MILE, such as the asymptotic equivalence to the Maximum Likelihood Estimation (MLE), are proved under some mild conditions, which facilitate statistical inference and prediction. Simulation studies illustrate that MILE outperforms traditional approaches with computational feasibility and scalability using existing and our proposed algorithms.