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On The First-Order Efficiency An Dasymptotic Normality Of The Maximum Likelihood Estimator Obtained From Dependent Observations

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  • Heijmans, Risto
  • Magnus, Jan

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.

Suggested Citation

  • Heijmans, Risto & Magnus, Jan, 1985. "On The First-Order Efficiency An Dasymptotic Normality Of The Maximum Likelihood Estimator Obtained From Dependent Observations," University of Amsterdam, Actuarial Science and Econometrics Archive 293110, University of Amsterdam, Faculty of Economics and Business.
    • Handle: RePEc:ags:amstas:293110
    DOI: 10.22004/ag.econ.293110
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    Research Methods/ Statistical Methods;

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