A uniform Berry-Esseen theorem on \(M\)-estimators for geometrically ergodic Markov chains

DOI10.3150/10-BEJ347zbMath1279.60089arXiv1205.2947MaRDI QIDQ418248

Loïc Hervé, Valentin Patilea, James Ledoux

Publication date: 28 May 2012

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.2947

zbMATH Keywords

Markov chains; asymptotic properties of estimators; weak spectral method

Mathematics Subject Classification ID

60J05: Discrete-time Markov processes on general state spaces

Related Items

Asymptotic and non-asymptotic analysis for a hidden Markovian process with a quantum hidden system, The Berry-Esseen bounds for kernel density estimator under dependent sample, Limit theorems for stationary Markov processes with \(L^{2}\)-spectral gap, On the recurrence set of planar Markov random walks, Multidimensional renewal theory in the non-centered case: application to strongly ergodic Markov chains, Parametric first-order Edgeworth expansion for Markov additive functionals. Application to \(M\)-estimations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Characterization of weak convergence of Birkhoff sums for Gibbs-Markov maps
• Markov chains and stochastic stability
• Rate of convergence in the central limit theorem for strongly ergodic Markov chains
• Étude de l'estimateur du maximum de vraisemblance dans le cas d'un processus autorégressif: convergence, normalité asymptotique, vitesse de convergence. (Asymptotic behaviour of maximum likelihood estimator in an autoregressive process: consistency, asymptotic distribution and expansion, rate of convergence)
• A remark on approximate \(M\)-estimators
• Computable bounds for geometric convergence rates of Markov chains
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Central limit theorems for iterated random Lipschitz mappings.
• The Berry-Esseen bound for minimum contrast estimates
• The Nagaev-Guivarc’h method via the Keller-Liverani theorem
• Banach spaces adapted to Anosov systems
• ON LIKELIHOOD ESTIMATION FOR DISCRETELY OBSERVED MARKOV JUMP PROCESSES
• [https://portal.mardi4nfdi.de/wiki/Publication:3933699 The Berry-Esse�n theorem for strongly mixing Harris recurrent Markov chains]
• A Berry–Esséen Bound for M‐estimators
• The accuracy of the normal approximation for minimum contrast estimates
• On the rate of convergence of estimators for Markov processes