Adaptive estimators for parameters of the autoregression function of a Markov chain

DOI10.1016/S0378-3758(96)00079-1zbMATH Open0877.62081MaRDI QIDQ1361765FDOQ1361765

Authors: Wolfgang Wefelmeyer 

Publication date: 6 November 1997

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

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zbMATH Keywords

Markov chainmisspecificationquasi-likelihoodefficient estimatorautoregression functionweighted nonlinear least-squares estimator

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Markov processes: estimation; hidden Markov models (62M05) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

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• The foundations of finite sample estimation in stochastic processes
• Local asymptotic normality and mixed normality for Markov statistical models
• Efficiency of estimators for partially specified filtered models
• A characterization of limiting distributions of estimators in an autoregressive process
• On statistics of Markov step processes: Representation of log-likelihood ratio processes in filtered local models
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• Efficient estimation of the stationary distribution for exponentially ergodic Markov chains
• Optimal estimation for semimartingales
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Cited In (5)

• Nonparametric estimating equations based on a penalized information criterion
• Sample splitting with Markov chains
• Variance bounds for estimators in autoregressive models with constraints
• Quasi-likelihood models and optimal inference
• Data-driven smooth tests for the martingale difference hypothesis

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