Efficient estimation of the stationary distribution for exponentially ergodic Markov chains

DOI10.1016/0378-3758(91)90085-SMaRDI QIDQ803698zbMATH OpenFDO

Authors Spiridon Penev

Publication date 1991

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

asymptotic efficiencystabilityempirical distributionexponential ergodicityMarkov sequencelocally asymptotically minimaxcontinuous stationary distributionlocal minimax boundstationary and ergodic random sequence

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Order statistics; empirical distribution functions (62G30)

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• Contiguity of Probability Measures
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Cited in

(20)

• scientific article; zbMATH DE number 4172202 (Why is no real title available?)
• Asymptotic inference for continuous-time Markov chains
• Optimality of estimators for misspecified semi-Markov models
• Estimating the stationary distribution of a Markov chain
• scientific article; zbMATH DE number 2186046 (Why is no real title available?)
• Some developments in semiparametric statistics
• Parameter Estimation in Minification Processes
• Information bounds for Gibbs samplers
• Improved estimators for constrained Markov chain models
• Efficient estimators for functionals of Markov chains with parametric marginals.
• Efficiency of empirical estimators for Markov chains
• Outperforming the Gibbs sampler empirical estimator for nearest-neighbor random fields
• Estimating invariant laws of linear processes by U-statistics.
• Quasi-likelihood models and optimal inference
• scientific article; zbMATH DE number 847098 (Why is no real title available?)
• Nonparametric estimators for Markov step processes
• Estimation for Markov chains with periodically missing observations
• Estimators for alternating nonlinear autoregression
• scientific article; zbMATH DE number 2072574 (Why is no real title available?)
• Adaptive estimators for parameters of the autoregression function of a Markov chain

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