Asymptotic Normmality of Maximum Likelihood Estimators Obtained from Normally Distributed but Dependent Observations

B-Tier
Journal: Econometric Theory
Year: 1986
Volume: 2
Issue: 3
Pages: 374-412

Authors (2)

Heijmans, Risto D. H. (not in RePEc) Magnus, Jan R. (Vrije Universiteit Amsterdam)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

In this article we aim to establish intuitively appealing and verifiable conditions for the first-order efficiency and asymptotic normality of ML estimators in a multi-parameter framework, assuming joint normality but neither the independence nor the identical distribution of the observations. We present five theorems (and a large number of lemmas and propositions), each being a special case of its predecessor.

Technical Details

RePEc Handle
repec:cup:etheor:v:2:y:1986:i:03:p:374-412_01
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25