Maximum likelihood principle and -divergence: continuous time observations
Kybernetika (1998)
- Volume: 34, Issue: 3, page [289]-308
- ISSN: 0023-5954
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topMichálek, Jiří. "Maximum likelihood principle and $I$-divergence: continuous time observations." Kybernetika 34.3 (1998): [289]-308. <http://eudml.org/doc/33355>.
@article{Michálek1998,
abstract = {The paper investigates the relation between maximum likelihood and minimum $I$-divergence estimates of unknown parameters and studies the asymptotic behaviour of the likelihood ratio maximum. Observations are assumed to be done in the continuous time.},
author = {Michálek, Jiří},
journal = {Kybernetika},
keywords = {maximum likelihood estimation; information divergence; Gaussian process; autoregressive processes; maximum likelihood estimation; information divergence; Gaussian process; autoregressive processes},
language = {eng},
number = {3},
pages = {[289]-308},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Maximum likelihood principle and $I$-divergence: continuous time observations},
url = {http://eudml.org/doc/33355},
volume = {34},
year = {1998},
}
TY - JOUR
AU - Michálek, Jiří
TI - Maximum likelihood principle and $I$-divergence: continuous time observations
JO - Kybernetika
PY - 1998
PB - Institute of Information Theory and Automation AS CR
VL - 34
IS - 3
SP - [289]
EP - 308
AB - The paper investigates the relation between maximum likelihood and minimum $I$-divergence estimates of unknown parameters and studies the asymptotic behaviour of the likelihood ratio maximum. Observations are assumed to be done in the continuous time.
LA - eng
KW - maximum likelihood estimation; information divergence; Gaussian process; autoregressive processes; maximum likelihood estimation; information divergence; Gaussian process; autoregressive processes
UR - http://eudml.org/doc/33355
ER -
References
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- Michálek J., Maximum likelihood principle and -divergence: observations in discrete time, Kybernetika 34 (1998), 265–288 (1998) MR1640966
- Pisarenko V. F., On absolute continuity of the measures corresponding to a rational spectral density function (in Russian), Teor. Veroyatnost. i Primenen. IV (1959), 481–481 (1959)
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- Rozanov J. A., On application a central limit theorem, In: Proc. Fourth Berkeley Symp. Math. Stat. Prob., Berkeley 1961, Vol. 2 (1961)
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