Conditional exponential families and a representation theorem for asymptotic inference

DOI10.1214/AOS/1176345463MaRDI QIDQ1159939zbMATH OpenOpenAlexFDO

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

additive exponential familyadditive processesasymptotic normalityderivative of log likelihoodmartingale propertymaximum likelihood estimatenonergodic stochastic processestime- homogeneous Markov chain

Mathematics Subject Classification ID

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

Cited in

(15)

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

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