Asymptotic Distributions of Quasi-Maximum Likelihood Estimators

نویسنده

  • Lung-Fei Lee
چکیده

Asymptotic properties of MLEs and QMLEs of mixed regressive, spatial autoregressive models are investigated. The stochastic rates of convergence of the MLE and QMLE for such models may be less than the √ n-rate under some circumstances even though its limiting distribution is asymptotically normal. When spatially varying regressors are relevant, the MLE and QMLE of the mixed regressive, autoregressive model may not have this problem and they can converge at the √ n-rate. If the spatially varying regressors are irrelevant, estimates of various components of unknown parameters may possess different rates of convergence.

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

ASYMPTOTIC DISTRIBUTIONS OF QUASI-MAXIMUM LIKELIHOOD ESTIMATORS FOR SPATIAL AUTOREGRESSIVE MODELS BY LUNG-FEI LEE This paper investigates asymptotic properties of the maximim likelihood estimator and the quasi-maximum likelihood estimator for the spatial autore-

This paper investigates asymptotic properties of the maximim likelihood estimator and the quasi-maximum likelihood estimator for the spatial autoregressive model. The rates of convergence of those estimators may depend on some general features of the spatial weights matrix of the model. It is important to make the distinction with different spatial scenarios. Under the scenario that each unit w...

متن کامل

Analysis of Hybrid Censored Data from the Lognormal Distribution

The mixture of Type I and Type II censoring schemes, called the hybrid censoring. This article presents the statistical inferences on lognormal parameters when the data are hybrid censored. We obtain the maximum likelihood estimators (MLEs) and the approximate maximum likelihood estimators (AMLEs) of the unknown parameters. Asymptotic distributions of the maximum likelihood estimators are used ...

متن کامل

Inference for the Type-II Generalized Logistic Distribution with Progressive Hybrid Censoring

This article presents the analysis of the Type-II hybrid progressively censored data when the lifetime distributions of the items follow Type-II generalized logistic distribution. Maximum likelihood estimators (MLEs) are investigated for estimating the location and scale parameters. It is observed that the MLEs can not be obtained in explicit forms. We provide the approximate maximum likelihood...

متن کامل

Estimation in Simple Step-Stress Model for the Marshall-Olkin Generalized Exponential Distribution under Type-I Censoring

This paper considers the simple step-stress model from the Marshall-Olkin generalized exponential distribution when there is time constraint on the duration of the experiment. The maximum likelihood equations for estimating the parameters assuming a cumulative exposure model with lifetimes as the distributed Marshall Olkin generalized exponential are derived. The likelihood equations do not lea...

متن کامل

QML Estimators in Linear Regression Models with Functional Coefficient Autoregressive Processes

This paper studies a linear regression model, whose errors are functional coefficient autoregressive processes. Firstly, the quasi-maximum likelihood QML estimators of some unknown parameters are given. Secondly, under general conditions, the asymptotic properties existence, consistency, and asymptotic distributions of the QML estimators are investigated. These results extend those of Maller 20...

متن کامل

Asymptotic Results for Maximum Likelihood Estimators in Joint Analysis of Repeated Measurements and Survival Time

Maximum likelihood estimation has been extensively used in the joint analysis of repeated measurements and survival time. However, there is a lack of theoretical justification of the asymptotic properties for the maximum likelihood estimators. This paper intends to fill this gap. Specifically, we prove the consistency of the maximum likelihood estimators and derive their asymptotic distribution...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 2001