ON THE FIRST–ORDER EFFICIENCY AND ASYMPTOTIC NORMALITY OF MAXIMUM LIKELIHOOD ESTIMATORS OBTAINED FROM DEPENDENT OBSERVATIONS |
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| Authors: | RDH Heijmans JR Magnus |
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| Institution: | Institute of Actuarial Sciences and Econometrics University of Amsterdam Jodenbreestraat 23 1011NH Amsterdam The Netherlands;London School of Economics and Political Science Department of Economics Houghton Street London WC2A2AE United Kingdom |
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| Abstract: | 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. |
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| Keywords: | Limiting distribution dependent observations vector martingales maximum—likelihood |
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