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

zbMATH Open1033.62078MaRDI QIDQ1856536FDOQ1856536

Authors: Anton Schick, Wolfgang Wefelmeyer 

Publication date: 10 February 2003

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

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

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)

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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