Information geometry approach to parameter estimation in Markov chains

DOI10.1214/15-AOS1420zbMath1347.62182arXiv1401.3814MaRDI QIDQ309718

Shun Watanabe, Masahito Hayashi

Publication date: 7 September 2016

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1401.3814

zbMATH Keywords

relative entropyexponential familyFisher information matrixnatural parameterasymptotic efficient estimatorexpectation parameter

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05)

Related Items

Curvature and inference for maximum likelihood estimates, Geometric reduction for identity testing of reversible Markov chains, Function-specific mixing times and concentration away from equilibrium, Statistical estimation of parameters for binary conditionally nonlinear autoregressive time series, Asymptotic and non-asymptotic analysis for a hidden Markovian process with a quantum hidden system, Statistical analysis of multivariate discrete-valued time series, Information geometry of reversible Markov chains, Local equivalence problem in hidden Markov model, Information geometry approach to parameter estimation in hidden Markov model, Mixing time estimation in reversible Markov chains from a single sample path

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