Relative asymptotic efficiency of the maximum pseudolikelihood estimate for Gauss-Markov random fields

0410855 - UTIA-B 20020069 RIV NL eng J - Journal Article
Janžura, Martin - Boček, Pavel
Relative asymptotic efficiency of the maximum pseudolikelihood estimate for Gauss-Markov random fields.
Statistical Inference for Stochastic Processes. Roč. 5, č. 2 (2002), s. 179-197. ISSN 1387-0874
R&D Projects: GA ČR GA201/99/0269; GA ČR GA102/99/1137
Institutional research plan: CEZ:AV0Z1075907
Keywords : spectral density * Gauss-Markov random fields * maximum pseudolikelihood estimate
Subject RIV: BB - Applied Statistics, Operational Research

A general version of the maximum pseudolikelihood estimate of parameters within the class of Gauss-Markov random fields is stated in a rigorous way. Its asymptotic properties, namely the consistency, the asymptotic normality, and the relative asymptotic efficiency are studied.Explicit formulas for the asymptotic covariance matrix are given, and a decrease of efficiency is proved. A numerical example is added to show that the efficiency can be improved by enlarging the range of the conditional distribution.
Permanent Link: http://hdl.handle.net/11104/0130942