ON THE FIRST-ORDER EFFICIENCY AN DASYMPTOTIC NORMALITY OF THE MAXIMUM LIKELIHOOD ESTIMATOR OBTAINED FROM DEPENDENT OBSERVATIONS

Risto Heijmans and Jan Magnus ()

No 293110, University of Amsterdam, Actuarial Science and Econometrics Archive from University of Amsterdam, Faculty of Economics and Business

Abstract: In this paper we study the first-order efficiency and asymptotic normality of the maximum likelihood estimator obtained from dependent observations. Our conditions are weaker than usual, in that we do not require convergences in probability to be uniform or third-order derivatives to exist. The paper builds on Witting and Nolle's result concerning the asymptotic normality of the maximum likelihood estimator obtained from independent and identically distributed observations, and on a martingale theorem by McLeish.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 41
Date: 1985
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Related works:
Working Paper: On the first-order efficiency and asymptotic normality of the maximum likelihood estimator obtained from dependent observations (1984)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:amstas:293110

DOI: 10.22004/ag.econ.293110

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