On the existence, uniqueness, and asymptotic normality of a consistent solution of the likelihood equations for nonidentically distributed observations: Applications to missing data problems

A general theorem is given which establishes the existence and uniqueness of a consistent solution of the likelihood equations given a sequence of independent random vectors whose distributions are not identical but have the same parameter set. In addition, it is shown that the consistent solution is a MLE and that it is asymptotically normal and efficient. Two applications are discussed: one in which independent observations of a normal random vector have missing components, and the other in which the parameters in a mixture from an exponential family are estimated using independent homogeneous sample blocks of different sizes.