The equivalence between (modified) Bayes estimator and maximum likelihood estimator for Markov processes

DOI10.1007/BF02480304zbMath0482.62075OpenAlexW2051211978MaRDI QIDQ1162781

B. L. S. Prakasa Rao

Publication date: 1979

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02480304

zbMATH Keywords

minimum contrast estimatorlarge-sample properties

Mathematics Subject Classification ID

Bayesian inference (62F15) Bayesian problems; characterization of Bayes procedures (62C10) Markov processes: estimation; hidden Markov models (62M05)

Related Items (4)

HIGHER-ORDER ASYMPTOTIC PROPERTIES OF A WEIGHTED ESTIMATOR FOR GAUSSIAN ARMA PROCESSES ⋮ Moderate deviation principle for maximum likelihood estimator for Markov processes ⋮ Inférence statistique dans les processus stochastiques: Aperçu historique ⋮ Estimation of the drift for diffusion process

Cites Work

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• On the Bernstein-von Mises approximation of posterior distributions
• Note on minimum contrast estimates for Markov processes
• Asymptotic properties of posterior distributions
• Improved Bounds for Equivalence of Bayes and Maximum Likelihood Estimation
• The Bernstein-Von Mises Theorem for Markov Processes
• On the rate of convergence of estimators for Markov processes

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