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Zapiski Nauchnykh Seminarov LOMI, 1981, Volume 108, Pages 5–21 (Mi znsl3432)  

Asymptotic behavior of the log-likelihood function when the spectral function has polynomial zeros

M. S. Ginovyan
Abstract: The Gaussian stationary process $x_t$, $t=0,\pm1,\dots$ with zero mean spectral dencity $f$:
$$ f(\lambda)=|Q_m(e^{i\lambda})|^2h(\lambda), $$
where $Q_m(z)$ is polynomial of degree $m$ with roots on the unit circle is, considered. The purpose of this paper is to investigate the asymptotic behavior of the logarithm of likelihood function $\mathscr L_n$. We show, that under the suitable condition on the spectral density $f$ the simple approximation $\widetilde{\mathscr L}_n$ of the function $\mathscr L_n$ satisfying the condition
$$ \frac1{\sqrt n}(\mathscr L_n-\widetilde{\mathscr L}_n)\to0\text{ when }n\to\infty $$
by probability exist.
English version:
Journal of Soviet Mathematics, 1984, Volume 25, Issue 3, Pages 1113–1125
DOI: https://doi.org/10.1007/BF01084790
Bibliographic databases:
UDC: 519.281
Language: Russian
Citation: M. S. Ginovyan, “Asymptotic behavior of the log-likelihood function when the spectral function has polynomial zeros”, Studies in mathematical statistics. Part V, Zap. Nauchn. Sem. LOMI, 108, "Nauka", Leningrad. Otdel., Leningrad, 1981, 5–21; J. Soviet Math., 25:3 (1984), 1113–1125
Citation in format AMSBIB
\Bibitem{Gin81}
\by M.~S.~Ginovyan
\paper Asymptotic behavior of the log-likelihood function when the spectral function has polynomial zeros
\inbook Studies in mathematical statistics. Part~V
\serial Zap. Nauchn. Sem. LOMI
\yr 1981
\vol 108
\pages 5--21
\publ "Nauka", Leningrad. Otdel.
\publaddr Leningrad
\mathnet{http://mi.mathnet.ru/znsl3432}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=629397}
\zmath{https://zbmath.org/?q=an:0483.62082|0563.62070}
\transl
\jour J. Soviet Math.
\yr 1984
\vol 25
\issue 3
\pages 1113--1125
\crossref{https://doi.org/10.1007/BF01084790}
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