Asymptotic normality for discretely observed Markov jump processes with an absorbing state

DOI10.1016/J.SPL.2014.03.010MaRDI QIDQ2453935zbMATH OpenOpenAlexFDO

Authors Alexander Kremer, Rafael Weißbach

Publication date 11 June 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2014.03.010

zbMATH Keywords

asymptotic normalitydiscrete observationsmultiple Markov jump processparametric maximum likelihood

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05)

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Cites work

• Asymptotic Statistics
• Consistent estimation for discretely observed Markov jump processes with an absorbing state
• Estimation in the birth process
• Exponential families of stochastic processes
• scientific article; zbMATH DE number 3174032 (Why is no real title available?)
• scientific article; zbMATH DE number 764677 (Why is no real title available?)
• scientific article; zbMATH DE number 3109695 (Why is no real title available?)
• Maximum likelihood estimation in the birth-and-death process
• ON LIKELIHOOD ESTIMATION FOR DISCRETELY OBSERVED MARKOV JUMP PROCESSES
• Ordinary differential equations. An introduction
• Statistical decision theory. Estimation, testing, and selection.
• Statistical Inference for Discretely Observed Markov Jump Processes
• Weak convergence and empirical processes. With applications to statistics

Cited in

(7)

• Statistical inference for Markov chains with applications to credit risk
• Asymptotic normality of a discrete procedure of stochastic approximation in a semi-Markov medium
• ON LIKELIHOOD ESTIMATION FOR DISCRETELY OBSERVED MARKOV JUMP PROCESSES
• Consistent estimation for discretely observed Markov jump processes with an absorbing state
• Robust and consistent estimation of generators in credit risk
• Statistical Inference for Discretely Observed Markov Jump Processes
• On likelihood estimation for a discretely observed jump process

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