Convergence results for maximum likelihood type estimators in multivariable ARMA models
نویسندگان
چکیده
منابع مشابه
The Convergence of Lossy Maximum Likelihood Estimators
Given a sequence of observations (Xn)n≥1 and a family of probability distributions {Qθ}θ∈Θ, the lossy likelihood of a particular distribution Qθ given the data Xn 1 := (X1,X2, . . . ,Xn) is defined as Qθ(B(X 1 ,D)), where B(Xn 1 ,D) is the distortion-ball of radius D around the source sequence X n 1 . Here we investigate the convergence of maximizers of the lossy likelihood.
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I declare that this essay is my own work done as part of the Part III Examination. It is the result of my own work, and except where stated otherwise, includes nothing which was performed in collaboration. No part of this essay has been submitted for a degree or any such qualification.
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 1987
ISSN: 0047-259X
DOI: 10.1016/0047-259x(87)90097-2