Displaying similar documents to “Maximum likelihood principle and I -divergence: continuous time observations”

Maximum likelihood principle and I -divergence: discrete time observations

Jiří Michálek (1998)

Kybernetika

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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 discrete time.

On unequally spaced AR(1) process

Jan Šindelář, Jiří Knížek (2003)

Kybernetika

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Discrete autoregressive process of the first order is considered. The process is observed at unequally spaced time instants. Both least squares estimate and maximum likelihood estimate of the autocorrelation coefficient are analyzed. We show some dangers related with the estimates when the true value of the autocorrelation coefficient is small. Monte-Carlo method is used to illustrate the problems.