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

DOI10.1016/S0378-3758(96)00079-1MaRDI QIDQ1361765zbMATH OpenFDO

Authors Wolfgang Wefelmeyer

Publication date 6 November 1997

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

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)

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Cites work

• scientific article; zbMATH DE number 3986476 (Why is no real title available?)
• scientific article; zbMATH DE number 51940 (Why is no real title available?)
• scientific article; zbMATH DE number 3458075 (Why is no real title available?)
• scientific article; zbMATH DE number 721889 (Why is no real title available?)
• A characterization of limiting distributions of estimators in an autoregressive process
• Asymptotic Inference in Markov Processes
• Efficiency of estimators for partially specified filtered models
• Efficient estimation of the stationary distribution for exponentially ergodic Markov chains
• Local asymptotic normality and mixed normality for Markov statistical models
• Nonparametric function estimation involving time series
• On conditional least squares estimation for stochastic processes
• On linear and quadratic estimating functions
• On statistics of Markov step processes: Representation of log-likelihood ratio processes in filtered local models
• Optimal estimation for semimartingales
• Propri�t�s de convergence presque compl�te du pr�dicteur � noyau
• Quasi-likelihood estimation for semimartingales
• The foundations of finite sample estimation in stochastic processes

Cited in

(6)

• Nonparametric estimating equations based on a penalized information criterion
• Sample splitting with Markov chains
• On multi-step MLE-process for Markov sequences
• 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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