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Uniform Asymptotic Expansion of Likelihood Ratio for Markov Dependent Observations

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Abstract

An asymptotic expansion of the logarithm of the likelihood ratio for Markov dependent observation is obtained. A functional limit theorem for the likelihood ratio is proved, which gives a way to study limiting distributions of the likelihood ratio based on stopping times, in particular, that of sequential probability ratio test.

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Authors and Affiliations

  1. Departamento de Matemáticas, UAM-Iztapalapa, av. Michoacán y la Purísima s/n, col. Vicentina, 09340, México D. F., Mexico, e-mail

    Andrei Novikov

Authors
  1. Andrei Novikov
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Novikov, A. Uniform Asymptotic Expansion of Likelihood Ratio for Markov Dependent Observations. Annals of the Institute of Statistical Mathematics 53, 799–809 (2001). https://doi.org/10.1023/A:1014617422188

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  • DOI: https://doi.org/10.1023/A:1014617422188

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