A PARAMETRIC MODEL FOR DISCRETE-VALUED TIME SERIES

被引：0
|
作者：
Janzura, Martin [1 ]
Fialova, Lucie [1 ]
机构：
[1] Acad Sci Czech Republic, Inst Informat Theory & Automat, Prague 180208, Czech Republic
来源：
PROBASTAT '06 | 2008年 / 39卷
关键词：
Markov chains; Gibbs distributions; statistical estimation;
D O I：
暂无
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
A parametric model for statistical analysis of Markov chains type models is constructed. Within the proposed model we can estimate the unknown parameter by simultaneous optimization of a collection of short-range objective functions. The estimate is proved to be consistent and asymptotically normal. Under mild conditions the estimate agrees with the standard maximum likelihood one, and, therefore, it is also asymptotically efficient.
引用
收藏
页码：155 / 163
页数：9
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