Efficient estimation of the stationary distribution for exponentially ergodic Markov chains

DOI10.1016/0378-3758(91)90085-SzbMath0727.62079MaRDI QIDQ803698

Spiridon I. Penev

Publication date: 1991

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

stabilityasymptotic efficiencyempirical distributionexponential ergodicityMarkov sequencelocally asymptotically minimaxcontinuous stationary distributionlocal minimax boundstationary and ergodic random sequence

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30) Markov processes: estimation; hidden Markov models (62M05)

Related Items (11)

Estimating invariant laws of linear processes by \(U\)-statistics. ⋮ Nonparametric estimators for Markov step processes ⋮ Outperforming the Gibbs sampler empirical estimator for nearest-neighbor random fields ⋮ Adaptive estimators for parameters of the autoregression function of a Markov chain ⋮ Quasi-likelihood models and optimal inference ⋮ Optimality of estimators for misspecified semi-Markov models ⋮ Efficient estimators for functionals of Markov chains with parametric marginals. ⋮ Some developments in semiparametric statistics ⋮ Improved estimators for constrained Markov chain models ⋮ Estimators for alternating nonlinear autoregression ⋮ Information bounds for Gibbs samplers

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• Asymptotically minimax estimation of concave and convex distribution functions
• Asymptotic minimax theorems for the sample distribution function
• Contiguity of Probability Measures

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