Note on minimum contrast estimates for Markov processes

DOI10.1007/BF01893287zbMath0251.62057OpenAlexW1986473600MaRDI QIDQ2557086

Peter Gaenssler

Publication date: 1972

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/175540

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05)

Related Items (5)

On minimum-contrast estimation for hilbert space-valued stochastic differential equations ⋮ Consistency and asymptotic normality of maximum likelihood estimation for Gaussian Markov processes from discrete observations ⋮ On the rate of convergence of estimators for Markov processes ⋮ The equivalence between (modified) Bayes estimator and maximum likelihood estimator for Markov processes ⋮ Parametric first-order Edgeworth expansion for Markov additive functionals. Application to \(M\)-estimations

Cites Work

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• Asymptotic normality of the maximum likelihood estimate in Markov processes
• On the measurability and consistency of minimum contrast estimates
• On Uniformization of Sets in Topological Spaces
• The Lindeberg-Levy Theorem for Martingales
• Extension to Markov processes of a result by A. Wald about the consistency of the maximum likelihood estimate
• Consistent Estimation of a Location Parameter in the Presence of an Incidental Scale Parameter

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