Efficient likelihood estimation in state space models

DOI10.1214/009053606000000614zbMATH Open1246.62185arXivmath/0611376OpenAlexW3099976319MaRDI QIDQ449965FDOQ449965

Authors: Cheng-Der Fuh, Jens Ledet Jensen 

Publication date: 3 September 2012

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

Abstract: Motivated by studying asymptotic properties of the maximum likelihood estimator (MLE) in stochastic volatility (SV) models, in this paper we investigate likelihood estimation in state space models. We first prove, under some regularity conditions, there is a consistent sequence of roots of the likelihood equation that is asymptotically normal with the inverse of the Fisher information as its variance. With an extra assumption that the likelihood equation has a unique root for each $n$, then there is a consistent sequence of estimators of the unknown parameters. If, in addition, the supremum of the log likelihood function is integrable, the MLE exists and is strongly consistent. Edgeworth expansion of the approximate solution of likelihood equation is also established. Several examples, including Markov switching models, ARMA models, (G)ARCH models and stochastic volatility (SV) models, are given for illustration.

Full work available at URL: https://arxiv.org/abs/math/0611376

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zbMATH Keywords

asymptotic normalityasymptotic expansionconsistencymaximum likelihoodefficiencyincomplete dataARMA modelsstochastic volatility modelsiterated random functions(G)ARCH modelsMarkov switching models

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) Non-Markovian processes: estimation (62M09) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• Asymptotic behavior of the maximum likelihood estimator for general Markov switching models
• Markov-switching state space models for uncovering musical interpretation
• Asymptotic behavior for Markovian iterated function systems
• Asymptotic properties of the maximum likelihood estimation in misspecified hidden Markov models
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• Bellman filtering and smoothing for state-space models
• Number of hidden states and memory: a joint order estimation problem for Markov chains with Markov regime
• Sequential Change-Point Detection in State-Space Models
• Review of SsfPack 2.2: statistical algorithms for models in state space
• THE EFFECTS OF DIFFERENCING ON THE GAUSSIAN LIKELIHOOD OF MODELS WITH UNOBSERVABLE STOCHASTIC TRENDS: A SIMPLE EXAMPLE
• Asymptotic normality of the maximum likelihood estimator in state space models
• Consistency of the maximum likelihood estimator for general hidden Markov models
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• Particle filter-based approximate maximum likelihood inference asymptotics in state-space models
• A self-normalized central limit theorem for Markov random walks
• Efficient Likelihood Evaluation of State-Space Representations

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