On the recursive parameter estimation in the general discrete time statistical model

DOI10.1016/S0304-4149(97)00098-7MaRDI QIDQ1965907zbMATH OpenFDO

Authors Teo Sharia

Publication date 1 March 2000

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

Full work available at URL https://doi.org/10.1016/S0304-4149(97)00098-7

zbMATH Keywords

conditional density of distributionsmartingalesrecursive estimation

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Sequential estimation (62L12) Stochastic approximation (62L20)

Review text

The author studies the limit behavior of recursive maximum likelihood estimators under some regularity and ergodicity assumptions on the logarithmic derivative of a transition density for a general statistical model. The consistency and asymptotic distribution are derived. The proved results are illustrated on several examples.

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Cites work

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Cited in

(12)

• Recursive estimation procedures for one-dimensional parameter of statistical models associated with semimartingales
• Semimartingale stochastic approximation procedure and recursive estimation
• Efficient on-line estimation of autoregressive parameters
• Discrete variable stochastic approximation procedures and recursive autoregressive model identification
• Truncated stochastic approximation with moving bounds: convergence
• scientific article; zbMATH DE number 892079 (Why is no real title available?)
• scientific article; zbMATH DE number 1409890 (Why is no real title available?)
• scientific article; zbMATH DE number 7387192 (Why is no real title available?)
• Rate of convergence of truncated stochastic approximation procedures with moving bounds
• A new recursive estimation method for single input single output models
• Recursive parameter estimation: convergence
• Recursive parameter estimation: asymptotic expansion

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