Likelihood asymptotics of stationary Gaussian arrays
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arXiv
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| Format: | Preprint |
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2025
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| _version_ | 1866914154856579072 |
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| author | Chong, Carsten H. Mies, Fabian |
| author_facet | Chong, Carsten H. Mies, Fabian |
| contents | This paper develops an asymptotic likelihood theory for triangular arrays of stationary Gaussian time series depending on a multidimensional unknown parameter. We give sufficient conditions for the associated sequence of statistical models to be locally asymptotically normal in Le Cam's sense, which in particular implies the asymptotic efficiency of the maximum likelihood estimator. Unique features of the array setting covered by our theory include potentially nondiagonal rate matrices as well as spectral densities that satisfy different power-law bounds at different frequencies and may fail to be uniformly integrable. To illustrate our theory, we study efficient estimation for Gaussian processes sampled at high frequency and for a class of autoregressive models with moderate deviations from a unit root. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2502_09229 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Likelihood asymptotics of stationary Gaussian arrays Chong, Carsten H. Mies, Fabian Statistics Theory Primary 62F12, 62M10, 62M15, secondary 60G22, 62P20 This paper develops an asymptotic likelihood theory for triangular arrays of stationary Gaussian time series depending on a multidimensional unknown parameter. We give sufficient conditions for the associated sequence of statistical models to be locally asymptotically normal in Le Cam's sense, which in particular implies the asymptotic efficiency of the maximum likelihood estimator. Unique features of the array setting covered by our theory include potentially nondiagonal rate matrices as well as spectral densities that satisfy different power-law bounds at different frequencies and may fail to be uniformly integrable. To illustrate our theory, we study efficient estimation for Gaussian processes sampled at high frequency and for a class of autoregressive models with moderate deviations from a unit root. |
| title | Likelihood asymptotics of stationary Gaussian arrays |
| topic | Statistics Theory Primary 62F12, 62M10, 62M15, secondary 60G22, 62P20 |
| url | https://arxiv.org/abs/2502.09229 |