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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. LOMI, 1981 Volume 108, Pages 5–21 (Mi znsl3432)

Asymptotic behavior of the log-likelihood function when the spectral function has polynomial zeros

M. S. Ginovyan


Abstract: The Gaussian stationary process $x_t$, $t=0,\pm1,\dots$ with zero mean spectral dencity $f$:
$$ f(\lambda)=|Q_m(e^{i\lambda})|^2h(\lambda), $$
where $Q_m(z)$ is polynomial of degree $m$ with roots on the unit circle is, considered. The purpose of this paper is to investigate the asymptotic behavior of the logarithm of likelihood function $\mathscr L_n$. We show, that under the suitable condition on the spectral density $f$ the simple approximation $\widetilde{\mathscr L}_n$ of the function $\mathscr L_n$ satisfying the condition
$$ \frac1{\sqrt n}(\mathscr L_n-\widetilde{\mathscr L}_n)\to0\text{ when }n\to\infty $$
by probability exist.

UDC: 519.281


 English version:
Journal of Soviet Mathematics, 1984, 25:3, 1113–1125

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© Steklov Math. Inst. of RAS, 2024