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Journal Article

Relative asymptotic efficiency of the maximum pseudolikelihood estimate for Gauss-Markov random fields

Janžura Martin, Boček Pavel

: Statistical Inference for Stochastic Processes vol.5, 2 (2002), p. 179-197

: CEZ:AV0Z1075907

: GA201/99/0269, GA ČR, GA102/99/1137, GA ČR

: spectral density, Gauss-Markov random fields, maximum pseudolikelihood estimate

(eng): A general version of the maximum pseudolikelihood estimate of parameters within the class of Gauss-Markov random fields is stated in a rigorous way. Its asymptotic properties, namely the consistency, the asymptotic normality, and the relative asymptotic efficiency are studied.Explicit formulas for the asymptotic covariance matrix are given, and a decrease of efficiency is proved. A numerical example is added to show that the efficiency can be improved by enlarging the range of the conditional distribution.

: 12B

: BB