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

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)

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Cites work

• scientific article; zbMATH DE number 8227 (Why is no real title available?)
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• scientific article; zbMATH DE number 3241743 (Why is no real title available?)
• scientific article; zbMATH DE number 958368 (Why is no real title available?)
• CONTINUOUS INSPECTION SCHEMES
• 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
• Some new statistics for testing hypotheses in parametric models

Cited in

(1)

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

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