Asymptotic normality of the maximum likelihood estimator in state space models

DOI10.1214/aos/1018031205zbMath0952.62023OpenAlexW1952343817MaRDI QIDQ1970477

Jens Ledet Jensen, Niels Væver Petersen

Publication date: 18 January 2001

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1018031205

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05)

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Cites Work

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• Maximum-likelihood estimation for hidden Markov models
• Bayesian forecasting and dynamic models
• Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models
• Smoothness priors analysis of time series
• Likelihood analysis of non-Gaussian measurement time series
• Monte Carlo maximum likelihood estimation for non-Gaussian state space models