Efficiency of empirical estimators for Markov chains

DOI10.1214/AOS/1176324459zbMATH Open0822.62067OpenAlexW1980567312MaRDI QIDQ1895348FDOQ1895348

Authors: Priscilla Greenwood, Wolfgang Wefelmeyer 

Publication date: 10 September 1995

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176324459

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zbMATH Keywords

efficiencyempirical distributionlinear functionalmartingale approximationempirical estimatoruniformly ergodic Markov chainempirical joint distribution functionfunctional convolution theoremunknown transition distribution

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Order statistics; empirical distribution functions (62G30)

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• Optimal inference for discretely observed semiparametric Ornstein-Uhlenbeck processes
• The information in the marginal law of a Markov chain
• Testing hypothesis on transition distributions of a Markov sequence
• Improved estimators for constrained Markov chain models
• Information bounds for Gibbs samplers
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• Efficient estimators for functionals of Markov chains with parametric marginals.
• Estimating invariant laws of linear processes by \(U\)-statistics.
• An efficient estimator for Gibbs random fields
• Quasi-likelihood models and optimal inference
• Ordering and improving the performance of Monte Carlo Markov chains.
• Estimation for Markov chains with periodically missing observations
• Nonparametric estimators for Markov step processes
• Regularity, partial regularity, partial information process, for a filtered statistical model
• Sequentlal estimarion in exponential-type processes under random initial conditions
• A uniform Berry-Esseen theorem on \(M\)-estimators for geometrically ergodic Markov chains
• A convergence result in the estimation of Markov chains with application to compound options
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