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)

Full work available at URL https://doi.org/10.1016/0378-3758(91)90085-S

zbMATH Keywords

asymptotic efficiencycontinuous stationary distributionempirical distributionexponential ergodicitylocal minimax boundlocally asymptotically minimaxMarkov sequencestabilitystationary and ergodic random sequence

Mathematics Subject Classification ID

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

Review text

The paper deals with the problem of estimation of the unknown continuous stationary distribution F of a stationary and ergodic random sequence \(X_ 1,X_ 2,... \). In this case, the empirical distribution function \(\hat F_ n\) still can be used. However, another serious problem arises, that of the asymptotic efficiency of \(\hat F_ n.\) The author has given an affirmative solution to the last problem. The exponential ergodicity of the Markov sequence \(X_ n\), \(n\geq 1\), is among the additional conditions under which it is shown that \(\hat F_ n\) is locally asymptotically minimax. Moreover, the local minimax bound is calculated explicitly. As a whole, this well written paper is a nice contribution to the temporary topic ``Inference for stochastic processes.

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Cited in

(21)

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

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