Estimation of parameters of linear stochastic difference equations.

zbMath1103.62363MaRDI QIDQ1856497

Rafail Z. Khasminskii, Andrius Jankunas

Publication date: 10 February 2003

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

zbMATH Keywords

local asymptotic normalitymaximum likelihood estimatorasymptotically efficient estimatorlinear stochastic difference equation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Additive difference equations (39A10)

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