Asymptotic normality of the maximum likelihood estimator in state space models
The authors generalize the results of \textit{P.J. Bickel}, \textit{Y. Ritov} and \textit{T. Rydèn} in Ann. Stat. 26, No. 4, 1614-1635 (1998; Zbl 0932.62097), to state space models, where the latent process is a continuous-state Markov chain satisfying regularity conditions, which are fulfilled if the latent process takes values in a compact space.
scientific article; zbMATH DE number 1420016