| bibtype |
J -
Journal Article
|
| ARLID |
0410855 |
| utime |
20240903203903.5 |
| mtime |
20060210235959.9 |
| title
(primary) (eng) |
Relative asymptotic efficiency of the maximum pseudolikelihood estimate for Gauss-Markov random fields |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0297195 |
| ISSN |
1387-0874 |
| title
|
Statistical Inference for Stochastic Processes |
| volume_id |
5 |
| volume |
2 (2002) |
| page_num |
179-197 |
|
| keyword |
spectral density |
| keyword |
Gauss-Markov random fields |
| keyword |
maximum pseudolikelihood estimate |
| author
(primary) |
| ARLID |
cav_un_auth*0101114 |
| name1 |
Janžura |
| name2 |
Martin |
| institution |
UTIA-B |
| full_dept |
Department of Stochastic Informatics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0101069 |
| name1 |
Boček |
| name2 |
Pavel |
| institution |
UTIA-B |
| full_dept |
Department of Stochastic Informatics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| COSATI |
12B |
| cas_special |
| project |
| project_id |
GA201/99/0269 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0005940 |
|
| project |
| project_id |
GA102/99/1137 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0004432 |
|
| research |
CEZ:AV0Z1075907 |
| abstract
(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. |
| RIV |
BB |
| department |
SI |
| permalink |
http://hdl.handle.net/11104/0130942 |
| ID_orig |
UTIA-B 20020069 |
| arlyear |
2002 |
| mrcbU63 |
cav_un_epca*0297195 Statistical Inference for Stochastic Processes 1387-0874 1572-9311 Roč. 5 č. 2 2002 179 197 |
|