On the recursive parameter estimation in the general discrete time statistical model (Q1965907): Difference between revisions
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Revision as of 04:31, 10 February 2024
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| English | On the recursive parameter estimation in the general discrete time statistical model |
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On the recursive parameter estimation in the general discrete time statistical model (English)
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1 March 2000
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The author studies the limit behavior of recursive maximum likelihood estimators under some regularity and ergodicity assumptions on the logarithmic derivative of a transition density for a general statistical model. The consistency and asymptotic distribution are derived. The proved results are illustrated on several examples.
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recursive estimation
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conditional density of distributions
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martingales
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