On multi-step MLE-process for Markov sequences

DOI10.1007/S00184-015-0574-4MaRDI QIDQ310050zbMATH OpenOpenAlexFDO

Authors A. Motrunich, Yu. A. Kutoyants

Publication date 7 September 2016

Published in Metrika (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1601.08174

zbMATH Keywords

asymptotic properties of estimatorsnonlinear autoregressive processtwo or three steps estimation procedures

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: We consider the problem of the construction of the estimator-process of the unknown finite-dimensional parameter in the case of the observations of nonlinear autoregressive process. The estimation is done in two or three steps. First we estimate the unknown parameter by a learning relatively short part of observations and then we use the one-step MLE idea to construct an-estimator process which is asymptotically equivalent to the MLE. To have the learning interval shorter we introduce the two-step procedure which leads to the asymptotically efficient estimator-process too. The presented results are illustrated with the help of two numerical examples.

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Cited in

(12)

• Fast and asymptotically efficient estimation in the Hawkes processes
• Fast and asymptotically-efficient estimation in an autoregressive process with fractional type noise
• One-step estimation for the fractional Gaussian noise at high-frequency
• MARM processes. II: The empirically-based subclass
• One-step closed-form estimator for generalized linear model with categorical explanatory variables
• Method of moments estimators and multi-step MLE for Poisson processes
• On the multi-step MLE-process for ergodic diffusion
• On M-processes and M-estimation
• On parameter estimation of the hidden Gaussian process in perturbed SDE
• Asymptotic accuracy of the Aitken-Markov estimator
• On parameter estimation of hidden ergodic Ornstein-Uhlenbeck process
• On approximation of BSDE and multi-step MLE-processes

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