Efficient likelihood estimation in state space models

DOI10.1214/009053606000000614zbMath1246.62185arXivmath/0611376OpenAlexW3099976319MaRDI QIDQ449965

Cheng-Der Fuh, Jens Ledet Jensen

Publication date: 3 September 2012

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

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

zbMATH Keywords

consistencyasymptotic expansionasymptotic normalityefficiencyincomplete datamaximum likelihoodARMA modelsMarkov switching modelsstochastic volatility modelsiterated random functions(G)ARCH models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05)

Related Items (10)

Sequential Change-Point Detection in State-Space Models ⋮ A Self-Normalized Central Limit Theorem for Markov Random Walks ⋮ Least squares type estimation of the transition density of a particular hidden Markov chain ⋮ Consistency of the maximum likelihood estimator for general hidden Markov models ⋮ Bellman filtering and smoothing for state-space 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 ⋮ Number of hidden states and memory: a joint order estimation problem for Markov chains with Markov regime ⋮ 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
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Refinements in asymptotic expansions for sums of weakly dependent random vectors
• Markov chains and stochastic stability
• On non-singular renewal kernels with an application to a semigroup of transition kernels
• Recurrent iterated function systems
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Maximum-likelihood estimation for hidden Markov models
• Strict stationarity of generalized autoregressive processes
• Estimation in a disequilibrium model and the value of information
• On the validity of the formal Edgeworth expansion
• A central limit theorem for parameter estimation in stationary vector time series and its application to models for a signal observed with noise
• A multiplicative ergodic theorem for Lipschitz maps
• SPRT and CUSUM in hidden Markov models
• Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
• Asymptotic operating characteristics of an optimal change point detection in hidden Markov models
• Stochastic models for ion channels: Introduction and bibliography
• Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models
• Inference in hidden Markov models. I: Local asymptotic normality in the stationary case.
• Nonlinear time series. Nonparametric and parametric methods
• Uniform Markov renewal theory and ruin probabilities in Markov random walks.
• Asymptotic normality of the maximum likelihood estimator in state space models
• Asymptotic expansions in multidimensional Markov renewal theory and first passage times for Markov random walks
• Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Asymptotic expansions for sums of weakly dependent random vectors
• Identifiability of hidden Markov information sources and their minimum degrees of freedom
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Ergodicity of Autoregressive Processes with Markov-Switching and Consistency of the Maximum-Likelihood Estimator
• Iterated Random Functions
• Multivariate Stochastic Variance Models
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• Statistical Inference for Probabilistic Functions of Finite State Markov Chains
• The asymptotic theory of linear time-series models
• More Exact Statement of Limit Theorems for Homogeneous Markov Chains
• Stochastic volatility models as hidden Markov models and statistical applications
• Limit theorems for Markov chains and stochastic properties of dynamical systems by quasi-compactness
• Asymptotics of the maximum likelihood estimator for general hidden Markov models

This page was built for publication: Efficient likelihood estimation in state space models