Maximum likelihood estimation for Markov processes

DOI10.1007/BF02479763zbMath0327.62054OpenAlexW2020374807MaRDI QIDQ1226364

B. L. S. Prakasa Rao

Publication date: 1972

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

Full work available at URL: https://doi.org/10.1007/bf02479763

Mathematics Subject Classification ID

Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05)

Related Items (11)

On the stationary law of a nonlinear autoregressive Markov chain ⋮ Moderate deviation principle for maximum likelihood estimator for Markov processes ⋮ Asymptotic inference for stochastic processes ⋮ Inférence statistique dans les processus stochastiques: Aperçu historique ⋮ On the rate of convergence of estimators for Markov processes ⋮ Asymptotic theory for estimating the parameters of a Levy process ⋮ Asymptotic relations between the likelihood estimating function and the maximum likelihood estimator ⋮ Estimation of the Entropy Rate of a Countable Markov Chain ⋮ The weak convergence of least squares random fields and its application ⋮ Weak convergence of lease squares process in the smooth case ⋮ Parametric first-order Edgeworth expansion for Markov additive functionals. Application to \(M\)-estimations

Cites Work

• The Lindeberg-Levy Theorem for Martingales
• Extension to Markov processes of a result by A. Wald about the consistency of the maximum likelihood estimate
• Asymptotic Inference in Markov Processes
• Estimation of the Location of the Cusp of a Continuous Density
• A Central Limit Theorem for a Class of Dependent Random Variables
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Maximum likelihood estimation for Markov processes