Asymptotic theory of conditional inference for stochastic processes
نویسندگان
چکیده
منابع مشابه
Statistical inference for stochastic processes: concepts and developments in asymptotic theory
1 Frame of the first-order asymptotic decision theory Consider a sequence of statistical experiments ET = (X T ,AT , {P T θ }θ∈Θ) (T ∈ R+). Let θ̂T : X T → Θ be a sequence of estimators of the unknown parameter θ. A basic property θ̂T should have is the consistency : θ̂T →PT θ θ (T → ∞) for every θ ∈ Θ. The analyst should not use any estimator without checking this property. For example, if one us...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1986
ISSN: 0304-4149
DOI: 10.1016/0304-4149(86)90116-x