从正态分布但非独立观测中获得的最大似然估计量的渐近正态性

Asymptotic Normmality of Maximum Likelihood Estimators Obtained from Normally Distributed but Dependent Observations

Econometric Theory · 1986
被引 26
人大 A-ABS 4

中文导读

在多参数框架下,假设观测联合正态但非独立非同分布,给出了最大似然估计量一阶有效和渐近正态的直观可验证条件,包含五个定理。

Abstract

In this article we aim to establish intuitively appealing and verifiable conditions for the first-order efficiency and asymptotic normality of ML estimators in a multi-parameter framework, assuming joint normality but neither the independence nor the identical distribution of the observations. We present five theorems (and a large number of lemmas and propositions), each being a special case of its predecessor.

最大似然估计渐近正态性相依观测联合正态性