Estimation for aggregate models: The aggregate Markov chain

DOI10.2307/3314810MaRDI QIDQ3692663zbMATH OpenOpenAlexFDO

Authors Donald L. McLeish

Publication date 1984

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

Full work available at URL https://doi.org/10.2307/3314810

zbMATH Keywords

aggregate Markov-chain modelasymptotic efficiencyestimating equationsincomplete datamartingale limit theoryweighted least-squares estimators

Mathematics Subject Classification ID

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

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Cites work

• An Optimum Property of Regular Maximum Likelihood Estimation
• Dependent central limit theorems and invariance principles
• scientific article; zbMATH DE number 3711181 (Why is no real title available?)
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 3318337 (Why is no real title available?)
• Least squares estimation in finite Markov processes
• Least-squares estimation of transition probabilities from aggregate data
• On the estimation of the parameters of Markov probability models using macro data
• Robust estimation through estimating equations
• The information in aggregate data from Markov chains

Cited in

(13)

• The estimation of complete aggregation structures
• A minimax approach to consistency and efficiency for estimating equations
• An extension of quasi-likelihood estimation
• The MM, ME, ML, EL, EF and GMM approaches to estimation: a synthesis.
• Estimation for partially observed Markov processes
• MTD models for aggregate data from higher order Markov chains
• Transform martingale estimating functions
• Least-squares estimation of transition probabilities from aggregate data
• Estimation in Markov Models from Aggregate Data
• The information in aggregate data from Markov chains
• Estimating and interpolating a Markov chain from aggregate data
• On inference from Markov chain macro-data using transforms
• Quasi Bayesian likelihood

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