Semiparametric estimation of Markov decision processes with continuous state space

DOI10.1016/j.jeconom.2011.10.003zbMath1441.62875OpenAlexW3023137316MaRDI QIDQ738126

Sorawoot Srisuma, Oliver B. Linton

Publication date: 15 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.10.003

zbMATH Keywords

discrete Markov decision modelskernel smoothing semiparametric estimationwell-posed inverse problem

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

Related Items

Strong mixing properties of discrete-valued time series with exogenous covariates, IDENTIFICATION OF DISCRETE CHOICE DYNAMIC PROGRAMMING MODELS WITH NONPARAMETRIC DISTRIBUTION OF UNOBSERVABLES, Markov decision processes under model uncertainty, CLOSED-FORM IDENTIFICATION OF DYNAMIC DISCRETE CHOICE MODELS WITH PROXIES FOR UNOBSERVED STATE VARIABLES, Semiparametric Bayesian estimation of dynamic discrete choice models, Joint analysis of the discount factor and payoff parameters in dynamic discrete choice models, A fast resample method for parametric and semiparametric models, Semiparametric estimation of dynamic discrete choice models, IDENTIFICATION IN DISCRETE MARKOV DECISION MODELS

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