Author： Takai Keiji
Publisher： Taylor & Francis Ltd
ISSN： 0361-0926
Source： Communications in Statistics: Theory and Methods, Vol.42, Iss.17, 2013-09, pp. : 3174-3190
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Abstract
This article discusses asymptotic theory for the maximum likelihood estimator based on incomplete data. Although much literature has implicitly assumed the basic properties of the estimator, such as consistency and asymptotic normality, it is hard to find their precise and comprehensive proofs. In this article, we first show that under MAR an estimator based on the likelihood function ignoring the missing-data mechanism is strongly consistent. The estimator is then shown to be asymptotically normal. When the data are NMAR and when the data are MAR without parameter distinctness, the consistency and the asymptotic normality are shown. Several examples are provided.
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