MAXIMUM-LIKELIHOOD PRINCIPLE AND I-DIVERGENCE - DISCRETE-TIME OBSERVATIONS

Authors
MICHALEK J
Citation
J. Michalek, MAXIMUM-LIKELIHOOD PRINCIPLE AND I-DIVERGENCE - DISCRETE-TIME OBSERVATIONS, Kybernetika, 34(3), 1998, pp. 265-288
Citations number
10
Categorie Soggetti
Computer Science Cybernetics","Computer Science Cybernetics
Journal title
Kybernetika → ACNP
ISSN journal
00235954
Volume
34
Issue
3
Year of publication
1998
Pages
265 - 288
Database
ISI
SICI code
0023-5954(1998)34:3<265:MPAI-D>2.0.ZU;2-6
Abstract
The paper investigates the relation between maximum likelihood and min imum I-divergence estimates of unknown parameters and studies the asym ptotic behaviour of the likelihood ratio maximum. Observations are ass umed to be done in the discrete time.