On quadratic expansions of log likelihoods and a general asymptotic linearity result

dc.contributor.authorHallin, Marc
dc.contributor.authorvan den Akker, Ramon
dc.contributor.authorWerker, Bas J. M.
dc.date.accessioned2013-09-17T08:44:04Z
dc.date.available2013-09-17T08:44:04Z
dc.date.issued2013-09-17
dc.description.abstractIrrespective of the statistical model under study, the derivation of limits, in the Le Cam sense, of sequences of local experiments (see [7]-[10]) often follows along very similar lines, essentially involving differentiability in quadratic mean of square roots of (conditional) densities. This chapter establishes two abstract and very general results providing sufficient and nearly necessary conditions for (i) the existence of a quadratic expansion, and (ii) the asymptotic linearity of local log-likelihood ratios (asymptotic linearity is needed, for instance, when unspecified model parameters are to be replaced, in some statistic of interest, with some preliminary estimator). Such results have been established, for locally asymptotically normal (LAN) models involving independent and identically distributed observations, by, e.g., [1], [11] and [12]. Similar results are provided here for models exhibiting serial dependencies which, so far, have been treated on a case-by-case basis (see [4] and [5] for typical examples) and, in general, under stronger regularity assumptions. Unlike their i.i.d. counterparts, our results extend beyond the context of LAN experiments, so that non-stationary unit-root time series and cointegration models, for instance, also can be handled (see [6]).en
dc.identifier.urihttp://hdl.handle.net/2003/30599
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-5595
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB 823;34/2013
dc.subject.ddc310
dc.subject.ddc330
dc.subject.ddc620
dc.titleOn quadratic expansions of log likelihoods and a general asymptotic linearity resulten
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access

Files

Original bundle
Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
DP_3413_SFB823_Hallin_vandenAkker_Werker.pdf
Size:
119.07 KB
Format:
Adobe Portable Document Format
Description:
DNB
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.02 KB
Format:
Item-specific license agreed upon to submission
Description: