Efficient estimation of invariant distributions of some semiparametric Markov chain models.

MaRDI QIDQ1856536zbMATH OpenFDO

Authors Anton Schick, Wolfgang Wefelmeyer

Publication date 10 February 2003

Published in Mathematical Methods of Statistics (Search for Journal in Brave)

zbMATH Keywords

Markov chainMarkov chain Monte Carloquasi-likelihoodefficient estimatorsample splittingempirical estimatornonlinear heteroscedastic autoregression

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05)

Recommendations

• Estimating joint distributions of Markov chains
• Efficient Estimation for Semiparametric Semi-Markov Processes
• Efficient estimators for functionals of Markov chains with parametric marginals.
• Efficiency of empirical estimators for Markov chains
• The information in the marginal law of a Markov chain

Cited in

(6)

• Efficient Estimation for Semiparametric Semi-Markov Processes
• Sample splitting with Markov chains
• The information in the marginal law of a Markov chain
• Implementation of Estimating Function-Based Inference Procedures With Markov Chain Monte Carlo Samplers
• Efficient estimators for functionals of Markov chains with parametric marginals.
• Efficiency of empirical estimators for Markov chains

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