Asymptotic normality of the maximum likelihood estimator in state space models
type: Item
instance of: scholarly article
title: Asymptotic normality of the maximum likelihood estimator in state space models
zbMATH Open document ID: 0952.62023
author: Jens Ledet Jensen
author: Niels Væver Petersen
published in: The Annals of Statistics
publication date: 2001-01-18T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 62M09
zbMATH DE Number: 1420016
reviewed by: Joseph Melamed
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aos/1018031205
OpenAlex ID: W1952343817
cites work: Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models
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cites work: Q4323629
cites work: Smoothness priors analysis of time series
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cites work: Likelihood analysis of non-Gaussian measurement time series
cites work: Uniform asymptotic normality of the maximum likelihood estimator
cites work: Bayesian forecasting and dynamic models
DOI: 10.1214/AOS/1018031205
description: scientific article; zbMATH DE number 1420016