Consistency of maximum likelihood estimation for some dynamical systems
DOI10.1214/14-AOS1259zbMath1319.37006arXiv1306.5603OpenAlexW3105105540MaRDI QIDQ2338917
Kevin McGoff, Sayan Mukherjee, Natesh S. Pillai, Andrew B. Nobel
Publication date: 27 March 2015
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1306.5603
maximum likelihood estimationdynamical systemsinformation theoryhidden Markov modelsstrong consistency
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05) Ergodicity, mixing, rates of mixing (37A25) Large deviations (60F10) Dynamical systems and their relations with probability theory and stochastic processes (37A50) Uniformly hyperbolic systems (expanding, Anosov, Axiom A, etc.) (37D20) Measures of information, entropy (94A17) Statistical aspects of information-theoretic topics (62B10)
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