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On Asymptotic Analysis of the Two-Stage Approach: Towards Data-Driven Parameter Estimation

Year: 2025

Type: preprint

Abstract: In this paper, we analyze the asymptotic properties of the Two-Stage (TS) estimator -- a simulation-based parameter estimation method that constructs estimators offline from synthetic data. While TS offers significant computational advantages compared to standard approaches to estimation, its statistical properties have not been previously analyzed in the literature. Under simple assumptions, we establish that the TS estimator is strongly consistent and asymptotically normal, providing the first theoretical guarantees for this class of estimators.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.2508.18201

Authors: Lakshminarayanan, Braghadeesh, Rojas, Cristian R.

Language: English

Topic: Markov Chains and Monte Carlo Methods

Subfield: Statistics and Probability

Field: Mathematics

Domain: Physical Sciences

Open Access status: green

OpenAlex ID: W7077908670

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