Blockwise empirical likelihood and efficiency for Markov chains

DOI10.1111/JTSA.12825MaRDI QIDQ6877926zbMATH OpenFDO

Authors Ursula U. Müller, Anton Schick, Wolfgang Wefelmeyer

Publication date 7 January 2026

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/JTSA.12825

zbMATH Keywords

asymptotically efficient estimatorasymptotically linear estimatorimproved empirical estimatorlocal asymptotic normalitymartingale approximationperturbation expansion

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes (62Mxx)

Cites work

• A characterization of limiting distributions of regular estimates
• A nonstandard empirical likelihood for time series
• A Progressive Block Empirical Likelihood Method for Time Series
• Adjusted blockwise empirical likelihood for long memory time series models
• Blockwise empirical likelihood for time series of counts
• Efficiency of empirical estimators for Markov chains
• Efficient estimation of the stationary distribution for exponentially ergodic Markov chains
• Empirical likelihood
• Empirical likelihood approach to goodness of fit testing
• Empirical likelihood for martingale differences
• Empirical likelihood methods with weakly dependent processes
• Empirical likelihood ratio confidence intervals for a single functional
• Estimating joint distributions of Markov chains
• scientific article; zbMATH DE number 3940343 (Why is no real title available?)
• scientific article; zbMATH DE number 3613934 (Why is no real title available?)
• scientific article; zbMATH DE number 503459 (Why is no real title available?)
• scientific article; zbMATH DE number 1025906 (Why is no real title available?)
• scientific article; zbMATH DE number 1181283 (Why is no real title available?)
• scientific article; zbMATH DE number 3337280 (Why is no real title available?)
• Improved estimators for constrained Markov chain models
• Inequalities in Theorems of Ergodicity and Stability for Markov Chains with Common Phase Space. I
• Markov chains and stochastic stability
• On the coverage bound problem of empirical likelihood methods for time series

This page was built for publication: Blockwise empirical likelihood and efficiency for Markov chains

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6877926)