Recursive parameter estimation: asymptotic expansion

DOI10.1007/s10463-008-0179-zzbMath1440.62322arXiv0705.1783OpenAlexW1995897514MaRDI QIDQ904094

Teo Sharia

Publication date: 15 January 2016

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0705.1783

zbMATH Keywords

stochastic approximationestimating equationsrecursive estimationexponential families of Markov processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

Related Items (4)

Asymptotic behavior of truncated stochastic approximation procedures ⋮ Truncated stochastic approximation with moving bounds: convergence ⋮ Unnamed Item ⋮ Rate of convergence of truncated stochastic approximation procedures with moving bounds

Cites Work

• Stable convergence of semimartingales
• Asymptotic optimal inference for non-ergodic models
• Conditional exponential families and a representation theorem for asymptotic inference
• On asymptotically efficient recursive estimation
• Quasi-likelihood and its application. A general approach to optimal parameter estimation
• Parametric statistical models and likelihood
• Quasi-likelihood estimation for semimartingales
• A Review of Some Aspects of Asymptotic Likelihood Theory for Stochastic Processes
• Rate of Convergence in Recursive Parameter Estimation procedures
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Recursive parameter estimation: asymptotic expansion