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Keywords:
maximum likelihood estimate; information divergence; exponential families; discrete time process; autoregressive sequences
maximum likelihood estimate; information divergence; exponential families; discrete time process; autoregressive sequences
Summary:
The paper investigates the relation between maximum likelihood and minimum $I$-divergence estimates of unknown parameters and studies the asymptotic behaviour of the likelihood ratio maximum. Observations are assumed to be done in the discrete time.
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References:
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