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Some Properties Of Conditional Quasi‐Likelihood Functions For Time Series Model Fitting

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  • Mituaki Huzii

Abstract

. We consider fitting a parametric model to a time series and obtain the maximum likelihood estimates of unknown parameters included in the model by regarding the time series as a Gaussian process satisfying the model. We evaluate the asymptotic value of the conditional quasi‐likelihood function when the number of observations tends to infinity. We show what properties of the time series we can find by examining the behaviour of the conditional quasi‐likelihood function, even when the time series does not necessarily satisfy the model and is not necessarily Gaussian.

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  • Mituaki Huzii, 1988. "Some Properties Of Conditional Quasi‐Likelihood Functions For Time Series Model Fitting," Journal of Time Series Analysis, Wiley Blackwell, vol. 9(4), pages 345-353, July.
    • Handle: RePEc:bla:jtsera:v:9:y:1988:i:4:p:345-353
    DOI: 10.1111/j.1467-9892.1988.tb00475.x
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