Asymptotic distribution of the log-likelihood function for stochastic processes

DOI10.1007/BF00533249MaRDI QIDQ4155676zbMATH OpenOpenAlexFDO

Authors George 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

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

Cites work

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• Inference in stochastic processes. II
• Martingale Central Limit Theorems
• The Lindeberg-Levy Theorem for Martingales

Cited in

(18)

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

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