This paper aims at improvement in regularity conditions on spectral densities for the limit theorems of the quasi maximum-likelihood estimator and the quasi likelihood-ratio statistic. The approach parallels the Daniels-Huber-Pollard proofs of central limit theorems under nonstandard conditions for i.i.d. situations. The results of the paper enable one to dispense with excessive regularity conditions on the spectral density.
Publié le : 1989-03-14
Classification:
Maximum-likelihood estimate,
likelihood-ratio test,
asymptotic theory,
nonstandard conditions,
linear processes,
time series analysis,
central limit theorem,
bracketing condition,
62M10,
62E20
@article{1176347024,
author = {Hosoya, Yuzo},
title = {The Bracketing Condition for Limit Theorems on Stationary Linear Processes},
journal = {Ann. Statist.},
volume = {17},
number = {1},
year = {1989},
pages = { 401-418},
language = {en},
url = {http://dml.mathdoc.fr/item/1176347024}
}
Hosoya, Yuzo. The Bracketing Condition for Limit Theorems on Stationary Linear Processes. Ann. Statist., Tome 17 (1989) no. 1, pp. 401-418. http://gdmltest.u-ga.fr/item/1176347024/