Maximum likelihood principle and I-divergence: discrete time observations.

zbMATH Open1274.62066MaRDI QIDQ4909780FDOQ4909780

Authors: Jiří Michalék 

Publication date: 21 March 2013

Full work available at URL: http://www.kybernetika.cz/content/1998/3

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zbMATH Keywords

exponential familiesinformation divergencemaximum likelihood estimatediscrete time processautoregressive sequences

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• CONTINUOUS INSPECTION SCHEMES
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• Some new statistics for testing hypotheses in parametric models
• Detection of abrupt changes in signals and dynamical systems. (Proceedings of a Conference on Detection of Abrupt Changes in Signals and Dynamical Systems, Paris, March 21-22, 1984)
• Exponential Families of Stochastic Processes: A Unifying Semimartingale Approach
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• Title not available (Why is that?)

Cited In (1)

• Maximum likelihood principle and \(I\)-divergence: continuous time observations.

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