Maximum spacing estimation for continuous time Markov chains and semi-Markov processes

DOI10.1007/s11203-021-09238-4zbMath1473.62293OpenAlexW3132092300MaRDI QIDQ2046299

Kristi Kuljus, B. Ranneby

Publication date: 17 August 2021

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-021-09238-4

zbMATH Keywords

parameter estimationsemi-Markov processcontinuous time Markov chainmaximum spacing method

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05) Continuous-time Markov processes on discrete state spaces (60J27)

Cites Work

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• Estimation of the transition distributions of a Markov renewal process
• Consistency of Generalized Maximum Spacing Estimates
• On the asymptotic normality of functions of uniform spacings
• Generalized Maximum Spacing Estimation for Multivariate Observations
• On the entropy for semi-Markov processes
• Asymptotic normality of generalized maximum spacing estimators for multivariate observations
• Note on the Consistency of the Maximum Likelihood Estimate
• A general estimation method using spacings

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