On multi-step MLE-process for Markov sequences

Yu. A. Kutoyants () and A. Motrunich
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Yu. A. Kutoyants: Université du Maine
A. Motrunich: Université du Maine

Metrika: International Journal for Theoretical and Applied Statistics, 2016, vol. 79, issue 6, No 5, 705-724

Abstract: Abstract We consider the problem of the construction of the estimator-process of the unknown finite-dimensional parameter in the case of the observations of nonlinear autoregressive process. The estimation is done in two or three steps. First we estimate the unknown parameter by a learning relatively short part of observations and then we use the one-step MLE idea to construct an-estimator process which is asymptotically equivalent to the MLE. To have the learning interval shorter we introduce the two-step procedure which leads to the asymptotically efficient estimator-process too. The presented results are illustrated with the help of two numerical examples.

Keywords: Markov sequences; Asymptotic properties of estimators; One-step MLE-process; 62F12; 62M05; 62M10 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s00184-015-0574-4

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