Recursive parameter estimation: asymptotic expansion

DOI10.1007/S10463-008-0179-ZzbMATH Open1440.62322arXiv0705.1783OpenAlexW1995897514MaRDI QIDQ904094FDOQ904094

Authors: Teo Sharia 

Publication date: 15 January 2016

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

Abstract: We consider estimation procedures which are recursive in the sense that each successive estimator is obtained from the previous one by a simple adjustment. The model considered in the paper is very general as we do not impose any preliminary restrictions on the probabilistic nature of the observation process and cover a wide class of nonlinear recursive procedures. In this paper we study asymptotic behaviour of the recursive estimators. The results of the paper can be used to determine the form of a recursive procedure which is expected to have the same asymptotic properties as the corresponding non-recursive one defined as a solution of the corresponding estimating equation.

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

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zbMATH Keywords

estimating equationsrecursive estimationstochastic approximationexponential families of Markov processes

Mathematics Subject Classification ID

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

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Cited In (16)

• Title not available (Why is that?)
• Truncated stochastic approximation with moving bounds: convergence
• Rate of Convergence in Recursive Parameter Estimation procedures
• Recursive parameter estimation: convergence
• Conditions of asymptotic efficiency of recursion estimates of the shift parameter
• Recursive estimation procedures for one-dimensional parameter of statistical models associated with semimartingales
• Recursive estimation: asymptotic confidence regions by empirical quantiles
• Recursive estimation and difference equations
• Asymptotic behavior of truncated stochastic approximation procedures
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• A recursive parameter estimator yielding exponential convergence under sufficient excitation
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• Recursive parameter estimation in the trend coefficient of a diffusion process
• Asymptotic Properties of a Recursive Procedure for Simultaneous Estimation
• Notes on a recursive procedure for point estimation
• Rate of convergence of truncated stochastic approximation procedures with moving bounds

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