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Asymptotic properties of maximum likelihood estimators in models with multiple change points
change-point fraction common parameter consistency convergence rate Kullback–Leibler distance within-segment parameter
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2011/3/24
Models with multiple change points are used in many fields; however, the theoretical properties of maximum likelihood estimators of such models have received relatively little attention. The goal of t...
ASYMPTOTIC PROPERTIES OF PERIODOGRAM FOR ALMOST PERIODICALLY CORRELATED TIME SERIES
Periodogram almost periodically correlated time series consistency
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2009/9/18
The main purpose of this paper is to establish the asymptotic
properties of the expectation and variance of periodogram for nonstationary,
almost periodically correlated time series. We expand our c...