Recursive construction of confidence regions

DOI10.1214/17-EJS1362zbMath1473.62289arXiv1605.08010OpenAlexW2963551200MaRDI QIDQ1684156

Igor Cialenco, Tao Chen, Tomasz R. Bielecki

Publication date: 8 December 2017

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.08010

zbMATH Keywords

stochastic approximationergodic processesquasi-asymptotically linear estimatorrecursive confidence regionsrecursive point estimatorsstatistical inference for Markov chains

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Parametric tolerance and confidence regions (62F25) Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Discrete-time Markov processes on general state spaces (60J05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

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