On multi-step MLE-process for Markov sequences

DOI10.1007/s00184-015-0574-4zbMath1347.62044arXiv1601.08174OpenAlexW2253212842MaRDI QIDQ310050

A. Motrunich, Yury A. Kutoyants

Publication date: 7 September 2016

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.08174

zbMATH Keywords

asymptotic properties of estimatorsnonlinear autoregressive processtwo or three steps estimation procedures

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)

Related Items (8)

On the multi-step MLE-process for ergodic diffusion ⋮ Method of moments estimators and multi-step MLE for Poisson processes ⋮ One-step closed-form estimator for generalized linear model with categorical explanatory variables ⋮ Fast and asymptotically efficient estimation in the Hawkes processes ⋮ On parameter estimation of the hidden Gaussian process in perturbed SDE ⋮ One-step estimation for the fractional Gaussian noise at high-frequency ⋮ On parameter estimation of hidden ergodic Ornstein-Uhlenbeck process ⋮ On approximation of BSDE and multi-step MLE-processes

Cites Work

• Approximation of the solution of the backward stochastic differential equation. Small noise, large sample and high frequency cases
• The weak convergence of the likelihood ratio random fields for Markov observations
• On parameter estimation from indirect observations
• Asymptotic theory of statistical inference for time series
• Nonlinear time series. Nonparametric and parametric methods
• Hybrid multi-step estimators for stochastic differential equations based on sampled data
• Differentiability of invariant measures of diffusions with respect to a parameter
• On estimation and adaptive estimation for locally asymptotically normal families
• Asymptotic Inference in Markov Processes
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: On multi-step MLE-process for Markov sequences