Asymptotic distribution of the log-likelihood function for stochastic processes

DOI10.1007/BF00533249zbMath0377.62011OpenAlexW2087381522MaRDI QIDQ4155676

George G. Roussas

Publication date: 1979

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00533249

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Exact distribution theory in statistics (62E15)

Related Items (18)

On local asymptotic normality for functional autoregressive processes ⋮ Local asymptotic normality of Hilbertian autoregressive processes ⋮ Likelihood Ratio Processes under Nonstandard Settings ⋮ A note on contiguity and \(L_ 1-\)norm ⋮ Local asymptotic normality for progressively censored likelihood ratio statistics and applications ⋮ Semiparametric efficient adaptive estimation of the GJR-GARCH model ⋮ Adaptive Estimation of Periodic First-Order Threshold Autoregressive Model ⋮ The robust focused information criterion for strong mixing stochastic processes with \(\mathscr{L}^2\)-differentiable parametric densities ⋮ Asymptotic distribution of the log-likelihood function for stochastic processes ⋮ Csiszar's \(\varphi\)-divergence for testing the order in a Markov chain. ⋮ Adaptive Test for Periodicity in Autoregressive Conditional Heteroskedastic Processes ⋮ Optimal test forPAR(1) dependence againstPSETAR(2,1,1) models with specified threshold ⋮ Tests in functional autoregressive processes via local asymptotic normality condition ⋮ Adaptive Test for Periodicity in Self-Exciting Threshold Autoregressive Models ⋮ Sur la convergence du processus de vraisemblance en variables markoviennes ⋮ Statistical inference for finite Markov chains based on divergences ⋮ The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend ⋮ On the speed of convergence in the central limit theorem of log- likelihood ratio processes

Cites Work

• Asymptotic distribution of the likelihood function in the independent not identically distributed case
• Inference in stochastic processes. II
• Asymptotic distribution of the log-likelihood function for stochastic processes
• The Lindeberg-Levy Theorem for Martingales
• Martingale Central Limit Theorems
• Central limit theorems for martingales and for processes with stationary increments using a Skorokhod representation approach
• Contiguity of Probability Measures
• A Central Limit Theorem for a Class of Dependent Random Variables
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