Asymptotic inference for continuous-time Markov chains (Q1092575): Difference between revisions

This paper deals with asymptotic optimal inference in a time-continuous ergodic Markov chain with countable state space, based on observations of the process up to time t. Let the infinitesimal generator depend on an unknown parameter. Under weak assumptions on the parametrization, we show local asymptotic normality for the statistical model as \(t\to \infty\). As a consequence, limit distributions of sequences of competing estimators for the unknown parameter are more spread out than a specified normal distribution.