Information geometry approach to parameter estimation in Markov chains

DOI10.1214/15-AOS1420zbMath1347.62182arXiv1401.3814MaRDI QIDQ309718

Shun Watanabe, Masahito Hayashi

Publication date: 7 September 2016

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

Full work available at URL: https://arxiv.org/abs/1401.3814

zbMATH Keywords

relative entropyexponential familyFisher information matrixnatural parameterasymptotic efficient estimatorexpectation parameter

Mathematics Subject Classification ID

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

Related Items (10)

Curvature and inference for maximum likelihood estimates ⋮ Geometric reduction for identity testing of reversible Markov chains ⋮ Function-specific mixing times and concentration away from equilibrium ⋮ Statistical estimation of parameters for binary conditionally nonlinear autoregressive time series ⋮ Asymptotic and non-asymptotic analysis for a hidden Markovian process with a quantum hidden system ⋮ Statistical analysis of multivariate discrete-valued time series ⋮ Information geometry of reversible Markov chains ⋮ Local equivalence problem in hidden Markov model ⋮ Information geometry approach to parameter estimation in hidden Markov model ⋮ Mixing time estimation in reversible Markov chains from a single sample path

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