On an optimal asymptotic property of the maximum likelihood estimator of a parameter from a stochastic process

DOI10.1016/0304-4149(78)90064-9zbMATH Open0387.62068OpenAlexW2006179883MaRDI QIDQ1249915FDOQ1249915

Authors: Christopher C. Heyde 

Publication date: 1978

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

Full work available at URL: https://doi.org/10.1016/0304-4149(78)90064-9

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Cites Work

• Dependent central limit theorems and invariance principles
• Title not available (Why is that?)
• Martingale invariance principles
• Extension of a Result of Seneta for the Super-Critical Galton-Watson Process
• Branching Processes
• Title not available (Why is that?)
• Contiguity of Probability Measures
• A central limit theorem for martingales and an application to branching processes
• Some Simple Conditions for Limit Theorems to Be Mixing
• Title not available (Why is that?)
• Certain properties of the generalized power series distribution
• Remarks on efficiency in estimation for branching processes
• Generalized Maximum Likelihood Estimators
• Title not available (Why is that?)

Cited In (10)

• Maximum likelihood estimation in branching process with continuous state space
• Asymptotically minimax tests of composite hypotheses for nonergodic type processes
• On estimator efficiency in stochastic processes
• Title not available (Why is that?)
• Asymptotic inference for stochastic processes
• ON THE ASYMPTOTIC EFFICIENCY OF ESTIMATORS OF THE PARAMETERS OF AN ARMA PROCESS
• A note on asymptotic inference in a class of non-stationary processes
• Asymptotic tests of composite hypotheses for non-ergodic type stochastic processes
• Recursive identification in continuous-time stochastic processes
• Maximum likelihood estimation and the local asymptotic mixed normality in a second-order branching process with continuous state space

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