Moderate deviation principle for maximum likelihood estimator for Markov processes

B.L.S. Prakasa Rao

Statistics & Probability Letters, 2018, vol. 132, issue C, 74-82

Abstract: After a short review of the properties of the maximum likelihood estimator for discrete time Markov processes, we obtain a moderate deviation result for such an estimator under some regularity conditions using the Gärtner–Ellis theorem for random processes.

Keywords: Moderate deviation; Maximum likelihood estimation; Markov process (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S016771521730295X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:132:y:2018:i:c:p:74-82

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2017.09.009

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().