Asymptotic normality of the maximum likelihood estimator in state space models (Q1970477)
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scientific article; zbMATH DE number 1420016
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| English | Asymptotic normality of the maximum likelihood estimator in state space models |
scientific article; zbMATH DE number 1420016 |
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Asymptotic normality of the maximum likelihood estimator in state space models (English)
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18 January 2001
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The authors generalize the results of \textit{P.J. Bickel}, \textit{Y. Ritov} and \textit{T. Rydèn} in Ann. Stat. 26, No. 4, 1614-1635 (1998; Zbl 0932.62097), to state space models, where the latent process is a continuous-state Markov chain satisfying regularity conditions, which are fulfilled if the latent process takes values in a compact space.
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0.8261570334434509
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0.8210009336471558
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0.798938512802124
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0.7879145741462708
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