Consistency of Decision in Finite and Numerable Multinomial Models

The multinomial distribution is often used in modeling categorical data because it describes the probability of a random observation being assigned to one of several mutually exclusive categories. Given a finite or numerable multinomial model (Formula presented.) whose decision is indexed by a parameter (Formula presented.) and having a cost (Formula presented.) depending on (Formula presented.) and on (Formula presented.), we show that, under general conditions, the probability of taking the least cost decision tends to 1 when n tends to ∞, i.e., we showed that the cost decision is consistent, representing a Statistical Decision Theory approach to the concept of consistency, which is not much considered in the literature. Thus, under these conditions, we have consistency in the decision making. The key result is that the estimator (Formula presented.) with components (Formula presented.), where (Formula presented.) is the number of times we obtain the ith result when we have a sample of size n, is a consistent estimator of (Formula presented.). This result holds both for finite and numerable models. By this result, we were able to incorporate a more general form for consistency for the cost function of a multinomial model.