Estimation in sparsely sampled random walks

DOI10.1016/0304-4149(89)90095-1MaRDI QIDQ1117654zbMATH OpenOpenAlexFDO

Authors Peter Guttorp, Richard A. Lockhart

Publication date 1989

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(89)90095-1

zbMATH Keywords

consistencyfinite momentsHellinger distancelocal central limit theoremmoment estimationrandom walk

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Markov processes: estimation; hidden Markov models (62M05)

Review text

A random walk on the line is observed at times \(n_ 1,n_ 1+n_ 2,..\). If the steps have 2k-2 finite moments then the k th moment can be estimated consistently if and only if \(\sum n_ i^{2-k}=\infty\).

Recommendations

• Consistent estimation in partially observed random walks
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Cites work

• Consistent estimation in partially observed random walks
• scientific article; zbMATH DE number 3488357 (Why is no real title available?)
• scientific article; zbMATH DE number 3504208 (Why is no real title available?)
• scientific article; zbMATH DE number 3797051 (Why is no real title available?)
• Nonuniform central limit bounds with applications to probabilities of deviations
• What can or can't be estimated in branching and related processes?

Cited in

(6)

• Consistent estimation in partially observed random walks
• Random walk density function with unknown origin
• Premature sampling in random walks
• Exact and efficient sampling of conditioned walks
• The role of probability generating functions for estimation in incompletely observed random walks
• Sampling distributions and estimation for multi-type branching processes

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