Improved estimators for constrained Markov chain models

Ursula U. Müller, Anton Schick and Wolfgang Wefelmeyer

Statistics & Probability Letters, 2001, vol. 54, issue 4, 427-435

Abstract: Suppose we observe an ergodic Markov chain and know that the stationary law of one or two successive observations fulfills a linear constraint. We show how to improve the given estimators exploiting this knowledge, and prove that the best of these estimators is efficient.

Keywords: Empirical; estimator; Asymptotically; linear; estimator; Influence; function; Regular; estimator; Markov; chain; model; Reversible; chain; Symmetric; chain; Linear; autoregression (search for similar items in EconPapers)
Date: 2001
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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