Bibliography
Journal Article
Relative asymptotic efficiency of the maximum pseudolikelihood estimate for Gauss-Markov random fields
,
: 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