Edgeworth expansion for M-estimators of V-geometrically ergodic Markov chains

DOI10.1016/J.CRMA.2010.02.009MaRDI QIDQ961013zbMATH OpenOpenAlexFDO

Authors Déborah Ferré

Publication date 29 March 2010

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.crma.2010.02.009

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Markov processes: estimation; hidden Markov models (62M05)

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Cites work

• Asymptotic expansions related to minimum contrast estimators
• Markov chains and stochastic stability
• ON LIKELIHOOD ESTIMATION FOR DISCRETELY OBSERVED MARKOV JUMP PROCESSES
• Étude de l'estimateur du maximum de vraisemblance dans le cas d'un processus autorégressif: convergence, normalité asymptotique, vitesse de convergence. (Asymptotic behaviour of maximum likelihood estimator in an autoregressive process: consistency, as

Cited in

(4)

• Edgeworth expansions of suitably normalized sample mean statistics for atomic Markov chains
• Parametric first-order Edgeworth expansion for Markov additive functionals. Application to \(M\)-estimations
• scientific article; zbMATH DE number 3872405 (Why is no real title available?)
• Limit theorems for stationary Markov processes with \(L^{2}\)-spectral gap

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