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    Two convergence results for an alternation maximization procedure
    (Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2015) Andresen, Andreas; Spokoiny, Vladimir
    Andresen and Spokoiny's (2013) "critical dimension in semiparametric estimation" provide a technique for the finite sample analysis of profile M-estimators. This paper uses very similar ideas to derive two convergence results for the alternating procedure to approximate the maximizer of random functionals such as the realized log likelihood in MLE estimation. We manage to show that the sequence attains the same deviation properties as shown for the profile M-estimator in Andresen and Spokoiny (2013), i.e. a finite sample Wilks and Fisher theorem. Further under slightly stronger smoothness constraints on the random functional we can show nearly linear convergence to the global maximizer if the starting point for the procedure is well chosen.
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    Critical dimension in profile semiparametric estimation
    (Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2013) Andresen, Andreas; Spokoiny, Vladimir
    This paper revisits the classical inference results for profile quasi maximum likelihood estimators (profile MLE) in the semiparametric estimation problem.We mainly focus on two prominent theorems: the Wilks phenomenon and Fisher expansion for the profile MLE are stated in a new fashion allowing finite samples and model misspecification. The method of study is also essentially different from the usual analysis of the semiparametric problem based on the notion of the hardest parametric submodel. Instead we apply the local bracketing and the upper function devices from Spokoiny (2012). This novel approach particularly allows to address the important issue of the effective target and nuisance dimension and it does not involve any pilot estimator of the target parameter. The obtained nonasymptotic results are surprisingly sharp and yield the classical asymptotic statements including the asymptotic normality and efficiency of the profile MLE. The general results are specified to the important special cases of an i.i.d. sample.