Moderate deviation principle for maximum likelihood estimator for Markov processes

DOI10.1016/j.spl.2017.09.009zbMath1457.62248OpenAlexW2758544302MaRDI QIDQ1686369

B. L. S. Prakasa Rao

Publication date: 22 December 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2017.09.009

zbMATH Keywords

maximum likelihood estimationMarkov processmoderate deviation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Large deviations (60F10)

Cites Work

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• Large deviations for a general class of random vectors
• Note on the moderate deviation principle of maximum likelihood estimator
• The equivalence between (modified) Bayes estimator and maximum likelihood estimator for Markov processes
• Maximum likelihood estimation for Markov processes
• Moderate deviations for the maximum likelihood estimator
• Moderate deviations of maximum likelihood estimator for independent not identically distributed case
• Moderate deviation principle for maximum-likelihood estimator
• On Large Deviations from the Invariant Measure
• On the rate of convergence of estimators for Markov processes
• A Central Limit Theorem for a Class of Dependent Random Variables
• Large deviations

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