Optimal Estimation under Nonstandard Conditions
We analyze optimality properties of maximum likelihood (ML) and other estimators when the problem does not necessarily fall within the locally asymptotically normal (LAN) class, therefore covering cases that are excluded from conventional LAN theory such as unit root nonstationary time series. The c...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2012
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1824 https://ink.library.smu.edu.sg/context/soe_research/article/2823/viewcontent/OptimalEstimationNonstandardConditions_2012.pdf |
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| Institution: | Singapore Management University |
| Language: | English |