ON LIKELIHOOD ESTIMATION FOR DISCRETELY OBSERVED MARKOV JUMP PROCESSES

DOI10.1111/j.1467-842X.2006.00466.xzbMath1117.62082MaRDI QIDQ3592377

Dominique Dehay, Jian-feng Yao

Publication date: 13 September 2007

Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)

zbMATH Keywords

Lyapunov method; simulations; discrete observations; likelihood estimator; recurrence condition

Mathematics Subject Classification ID

62M05: Markov processes: estimation; hidden Markov models

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Robust and consistent estimation of generators in credit risk, Consistent estimation for discretely observed Markov jump processes with an absorbing state, A uniform Berry-Esseen theorem on \(M\)-estimators for geometrically ergodic Markov chains, Limit theorems for stationary Markov processes with \(L^{2}\)-spectral gap, Edgeworth expansion for \(M\)-estimators of \(V\)-geometrically ergodic Markov chains, Parametric first-order Edgeworth expansion for Markov additive functionals. Application to \(M\)-estimations, Asymptotic normality for discretely observed Markov jump processes with an absorbing state, The discretely observed immigration-death process: Likelihood inference and spatiotemporal applications

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