Conditional exponential families and a representation theorem for asymptotic inference

DOI10.1214/AOS/1176345463zbMATH Open0476.62070OpenAlexW2058371490MaRDI QIDQ1159939FDOQ1159939

Authors: Paul D. Feigin 

Publication date: 1981

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176345463

zbMATH Keywords

asymptotic normalityadditive processesmartingale propertymaximum likelihood estimateadditive exponential familyderivative of log likelihoodnonergodic stochastic processestime- homogeneous Markov chain

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Markov processes (60J99)

Cited In (14)

• Longitudinal network models and permutation‐uniform Markov chains
• Information geometry of reversible Markov chains
• Asymptotic theory of conditional inference for stochastic processes
• Recursive parameter estimation: asymptotic expansion
• Information geometry approach to parameter estimation in Markov chains
• Asymptotic optimal inference for a class of nonlinear time series models
• Large sample inference for conditional exponential families with applications to nonlinear time series
• On exponential families of Markov processes
• Inference and martingale estimating equations for stochastic processes on a semigroup
• Exponential families of stochastic processes and Lévy processes
• Stable convergence of semimartingales
• Likelihood
• Signal recovery by stochastic optimization
• On nonergodicity for nonparametric autoregressive models

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