Improved estimators for constrained Markov chain models

DOI10.1016/S0167-7152(01)00121-3MaRDI QIDQ5953886zbMATH OpenWikidataFDO

Authors Ursula U. Müller, Anton Schick, Wolfgang Wefelmeyer

Publication date 13 January 2003

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0167-7152(01)00121-3

zbMATH Keywords

asymptotically linear estimatorempirical estimatorinfluence functionlinear autoregressionregular estimatorreversible chainsymmetric chain

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05)

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Cites work

• Adjustment by minimum discriminant information
• Efficiency of empirical estimators for Markov chains
• Efficient estimation of the stationary distribution for exponentially ergodic Markov chains
• Estimating invariant laws of linear processes by U-statistics.
• Estimating joint distributions of Markov chains
• scientific article; zbMATH DE number 3940343 (Why is no real title available?)
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• scientific article; zbMATH DE number 503459 (Why is no real title available?)
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• scientific article; zbMATH DE number 1181283 (Why is no real title available?)
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• scientific article; zbMATH DE number 3337280 (Why is no real title available?)
• Markov chains and stochastic stability
• Prediction in invertible linear processes
• Reversible Markov chains and optimality of symmetrized empirical estimators

Cited in

(8)

• Testing lumpability in Markov chains.
• Estimating invariant laws of linear processes by U-statistics.
• A convergence result in the estimation of Markov chains with application to compound options
• Regeneration-based statistics for Harris recurrent Markov chains
• Root n consistent and optimal density estimators for moving average processes
• Bootstrapping robust statistics for Markovian data applications to regenerative \(R\)-statistics and \(L\)-statistics
• Blockwise empirical likelihood and efficiency for Markov chains
• Efficient prediction for linear and nonlinear autoregressive models

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