Information geometry approach to parameter estimation in Markov chains

DOI10.1214/15-AOS1420zbMATH Open1347.62182arXiv1401.3814MaRDI QIDQ309718FDOQ309718

Authors: Masahito Hayashi, Shun Watanabe 

Publication date: 7 September 2016

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

Abstract: We consider the parameter estimation of Markov chain when the unknown transition matrix belongs to an exponential family of transition matrices. Then, we show that the sample mean of the generator of the exponential family is an asymptotically efficient estimator. Further, we also define a curved exponential family of transition matrices. Using a transition matrix version of the Pythagorean theorem, we give an asymptotically efficient estimator for a curved exponential family.

Full work available at URL: https://arxiv.org/abs/1401.3814

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zbMATH Keywords

exponential familyFisher information matrixrelative entropynatural parameterasymptotic efficient estimatorexpectation parameter

Mathematics Subject Classification ID

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

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Cited In (13)

• Information geometry of reversible Markov chains
• Geometric reduction for identity testing of reversible Markov chains
• Information geometry of estimating functions in semi-parametric statistical models
• Curvature and inference for maximum likelihood estimates
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