Properties of Conditional Fitting the Semi-Parametric Model Using the Quasi-Likelihood Function
نویسنده
چکیده
Abstract. We show what properties of the time series we can find by examining the behavior of the conditional quasi-likelihood function, even when the time series does not necessarily satisfy the model and is not necessarily Gaussian. We consider fitting a parametric model to a time series and obtain the maximum likelihood estimates of unknown parameters included in the model by regarding the time series as a Gaussian process satisfying the model. We evaluate the asymptotic value of the conditional quasi-likelihood function when the number of observations tends to infinity.
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