Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1154745 | Statistics & Probability Letters | 2007 | 6 Pages |
Abstract
We consider the asymptotic distribution of the maximum likelihood estimator (MLE), when the log-likelihood ratio statistic weakly converges to the non-degenerated Gaussian process. We provide a simple expression for the density function of the asymptotic distribution by fundamental stochastic results. This note is helpful to investigate asymptotic properties of the MLE in a certain non-regular case.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Takayuki Fujii,