ON THE FIRST–ORDER EFFICIENCY AND ASYMPTOTIC NORMALITY OF MAXIMUM LIKELIHOOD ESTIMATORS OBTAINED FROM DEPENDENT OBSERVATIONS

DOI10.1111/j.1467-9574.1986.tb01513.xzbMath0603.62033OpenAlexW2006014088MaRDI QIDQ3740038

Jan R. Magnus, Risto D. H. Heijmans

Publication date: 1986

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9574.1986.tb01513.x

zbMATH Keywords

asymptotic normalitymaximum likelihood estimatorsufficient conditionsdependent observationsfirst-order efficiency

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Point estimation (62F10)

Related Items (12)

Multiple optima and asymptotic approximations in the partial adjustment model ⋮ The use of generalized inverses in restricted maximum likelihood ⋮ Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination ⋮ Basic structure of the asymptotic theory in dynamic nonlinear econometric models ⋮ Consistent maximum-likelihood estimation with dependent observations. The general (nonnormal) case and the normal case ⋮ Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances ⋮ Analytical uses of Kalman filtering in econometrics — A survey ⋮ Testing joint hypotheses when one of the alternatives is one-sided ⋮ A nonnested approach to testing continuous time models against discrete alternatives ⋮ A minimum Hellinger distance estimator for stochastic differential equations: an application to statistical inference for continuous time interest rate models ⋮ Estimating the input of a Lévy-driven queue by Poisson sampling of the workload process ⋮ Strong consistency of maximum likelihood estimators for a discrete-time random field HJM-type interest rate model

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