Asymptotic normality of the maximum likelihood estimator in state space models (Q1970477)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic normality of the maximum likelihood estimator in state space models |
scientific article |
Statements
Asymptotic normality of the maximum likelihood estimator in state space models (English)
0 references
18 January 2001
0 references
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.
0 references
0 references
