Asymptotics of Maximum Likelihood Estimators for the Curie-Weiss Model
Comets, Francis ; Gidas, Basilis
Ann. Statist., Tome 19 (1991) no. 1, p. 557-578 / Harvested from Project Euclid
We study the asymptotics of the ML estimators for the Curie-Weiss model parametrized by the inverse temperature $\beta$ and the external field $h$. We show that if both $\beta$ and $h$ are unknown, the ML estimator of $(\beta, h)$ does not exist. For $\beta$ known, the ML estimator $\hat{h}_n$ of $h$ exhibits, at a first order phase transition point, superefficiency in the sense that its asymptotic variance is half of that of nearby points. At the critical point $(\beta = 1)$, if the true value is $h = 0$, then $n^{3/4}\hat h_n$ has a non-Gaussian limiting law. Away from phase transition points, $\hat h_n$ is asymptotically normal and efficient. We also study the asymptotics of the ML estimator of $\beta$ for known $h$.
Publié le : 1991-06-14
Classification:  Maximum likelihood estimators,  phase transitions,  superefficiency,  consistency,  asymptotic normality,  62F10,  62F12,  62F99,  62P99
@article{1176348111,
     author = {Comets, Francis and Gidas, Basilis},
     title = {Asymptotics of Maximum Likelihood Estimators for the Curie-Weiss Model},
     journal = {Ann. Statist.},
     volume = {19},
     number = {1},
     year = {1991},
     pages = { 557-578},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176348111}
}
Comets, Francis; Gidas, Basilis. Asymptotics of Maximum Likelihood Estimators for the Curie-Weiss Model. Ann. Statist., Tome 19 (1991) no. 1, pp.  557-578. http://gdmltest.u-ga.fr/item/1176348111/