Efficiency of maximum likelihood estimation for a multinomial distribution with known probability sums

2019/06/13 by Yo Sheena, Sheena, Yo
Mathematics · #Statistical Distribution Estimation and Applications #Statistical Methods and Bayesian Inference #Advanced Statistical Methods and Models

paper · pdf · doi:10.48550/arxiv.1906.05461

Abstract

For a multinomial distribution, suppose that we have prior knowledge of the sum of the probabilities of some categories. This allows us to construct a submodel in a full (i.e., no-restriction) model. Maximum likelihood estimation (MLE) under this submodel is expected to have better estimation efficiency than MLE under the full model. This article presents the asymptotic expansion of the risk of MLE with respect to Kullback--Leibler divergence for both the full model and submodel. The results reveal that, using the submodel, the reduction of the risk is quite small in some cases. Furthermore, when the sample size is small, the use of the subomodel can increase the risk.

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