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

DOI10.1016/0304-4149(78)90064-9MaRDI QIDQ1249915zbMATH OpenOpenAlexFDO

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

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• A central limit theorem for martingales and an application to branching processes
• Branching Processes
• Certain properties of the generalized power series distribution
• Contiguity of Probability Measures
• Dependent central limit theorems and invariance principles
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• Generalized Maximum Likelihood Estimators
• Martingale invariance principles
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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
• scientific article; zbMATH DE number 3761254 (Why is no real title available?)
• 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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