On the recursive parameter estimation in the general discrete time statistical model

Teo Sharia

Stochastic Processes and their Applications, 1998, vol. 73, issue 2, 151-172

Abstract: The consistency and asymptotic linearity of recursive maximum likelihood estimator is proved under some regularity and ergodicity assumptions on the logarithmic derivative of a transition density for a general statistical model. © 1998 Elsevier Science B.V.

Keywords: Recursive; estimation; Conditional; density; of; distribution; Martingales; Stochastic; approximation (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (3)

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