Regeneration-based Statistics for Harris Recurrent Markov Chains

Patrice Bertail and Stéphan Clémençon
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Patrice Bertail: Crest
Stéphan Clémençon: Crest

No 2005-13, Working Papers from Center for Research in Economics and Statistics

Abstract: In this paper an attempt is made to present how renewalproperties of Harris recurrent Markov chains or of specific extensions of thelatter may be practically used for statistical inference in various settings.In the regenerative case, procedures can be implemented from data blockscorresponding to consecutive observed regeneration times for the chain. Themain idea for extending the application of these statistical techniques to generalHarris chains X consists in generating first a sequence of approximaterenewal times for a regenerative extension of X from data X1; :::; Xn and theparameters of a minorization condition satisfied by its transition probabilitykernel. Numerous applications of this estimation principle may be consideredin both the stationary and nonstationary (including the null recurrentcase) frameworks. This article deals with some important procedures basedon (approximate) regeneration data blocks, from both practical and theoreticalviewpoints, for the following topics: mean and variance estimation,confidence intervals, U-statis

Pages: 61
Date: 2005
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