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Zapiski Nauchnykh Seminarov LOMI, 1981, Volume 108, Pages 5–21
(Mi znsl3432)
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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.
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
Linking options:
https://www.mathnet.ru/eng/znsl3432 https://www.mathnet.ru/eng/znsl/v108/p5
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Abstract page: | 175 | Full-text PDF : | 64 |
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