Explicit limit results for minimal sufficient statistics and maximum likelihood estimators in some Markov processes: Exponential families approach

DOI10.1214/AOS/1176324699MaRDI QIDQ1906202zbMATH OpenOpenAlexFDO

Authors Valeri T. Stefanov

Publication date 12 November 1996

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

Full work available at URL https://doi.org/10.1214/aos/1176324699

zbMATH Keywords

asymptotic normalitycurved exponential familiesfinite-state Markov chainsfunctional central limit theoremsfunctional laws of iterated logarithmlikelihood functionslimit resultsMarkov renewal processesMarkov-additive processesmaximum likelihood estimatorsminimal sufficient statisticsstopping timesvariance parameter

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12) Sequential estimation (62L12) Markov processes: estimation; hidden Markov models (62M05)

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