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Finite-Sample Maximum Likelihood Estimation of Location
Shivam Gupta · Jasper Lee · Eric Price · Paul Valiant

Thu Dec 01 09:00 AM -- 11:00 AM (PST) @ Hall J #822
We consider 1-dimensional location estimation, where we estimate a parameter $\lambda$ from $n$ samples $\lambda + \eta_i$, with each $\eta_i$ drawn i.i.d. from a known distribution $f$. For fixed $f$ the maximum-likelihood estimate (MLE) is well-known to be optimal in the limit as $n \to \infty$: it is asymptotically normal with variance matching the Cramer-Rao lower bound of $\frac{1}{n\mathcal{I}}$, where $\mathcal{I}$ is the Fisher information of $f$. However, this bound does not hold for finite $n$, or when $f$ varies with $n$. We show for arbitrary $f$ and $n$ that one can recover a similar theory based on the Fisher information of a smoothed version of $f$, where the smoothing radius decays with $n$.

Author Information

Shivam Gupta (University of Texas, Austin)
Jasper Lee (University of Wisconsin-Madison)
Eric Price (University of Texas at Austin)
Paul Valiant (IAS; Purdue University)

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