On the Asymptotic Properties of the Maximum-Likelihood Estimate Obtained from Dependent Observations
依赖观测下最大似然估计的渐近性质
Summary The problem of weak consistency and asymptotic efficiency of the maximum-likelihood estimate in the case of dependent random variables (observations) is considered. A set of readily applicable conditions that ensure these properties of the maximum-likelihood estimate is presented. The conditions are expressed in terms of the probability density distribution of individual observations, conditioned upon all past observations. The connection between these conditions and…