Consistent estimation in partially observed random walks

DOI10.1214/AOS/1176349649MaRDI QIDQ1073497zbMATH OpenOpenAlexFDO

Authors Peter Guttorp, Andrew F. Siegel

Publication date 1985

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

Full work available at URL https://doi.org/10.1214/aos/1176349649

zbMATH Keywords

consistent estimation of the momentsnon-uniform convergence in distributionpartially observed random walkssparse sampling

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric inference (62G99) Markov processes: estimation; hidden Markov models (62M05)

Review text

Let \(X_ 1,...,X_ n\) be independent and identically distributed according to a d.f. F with all central moments being finite and \(N_ i,\quad i=1,2,..\). be a strictly increasing sequence of nonnegative integers. The problem of consistent estimation of the moments of F based only on the knowledge of the sequence \(S_{N_ i}=X_ 1+...+X_{N_ i},\quad i=1,2,..\). is considered. The continuous-time analogue of this problem, i.e. when \(X_ t,\quad t\geq 0\) is a process with stationary and independent increments, is also discussed.

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