Efficient estimation of invariant distributions of some semiparametric Markov chain models.

zbMATH Open1033.62078MaRDI QIDQ1856536

Anton Schick, Wolfgang Wefelmeyer

Publication date: 10 February 2003

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

zbMATH Keywords

Markov chain Monte CarloMarkov chainefficient estimatorquasi-likelihoodempirical estimatorsample splittingnonlinear heteroscedastic autoregression

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05)

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