Geodesic
Maximum likelihood principle and $I$-divergence: discrete time observations
Kybernetika, Tome 34 (1998) no. 3, p. [265]

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The paper investigates the relation between maximum likelihood and minimum $I$-divergence estimates of unknown parameters and studies the asymptotic behaviour of the likelihood ratio maximum. Observations are assumed to be done in the discrete time.
Classification : 62B10, 62F12, 62M10
Keywords: maximum likelihood estimate; information divergence; exponential families; discrete time process; autoregressive sequences 
@article{KYB_1998__34_3_a1,
     author = {Mich\'alek, Ji\v{r}{\'\i}},
     title = {Maximum likelihood principle and $I$-divergence: discrete time observations},
     journal = {Kybernetika},
     pages = {[265]},
     publisher = {mathdoc},
     volume = {34},
     number = {3},
     year = {1998},
     mrnumber = {1640966},
     zbl = {1274.62066},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_1998__34_3_a1/}
}
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%J Kybernetika
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Michálek, Jiří. Maximum likelihood principle and $I$-divergence: discrete time observations. Kybernetika, Tome 34 (1998) no. 3, p. [265]. http://geodesic.mathdoc.fr/item/KYB_1998__34_3_a1/