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Subjects
62-XX Statistics
62Mxx Inference from stochastic processes
62M05 Markov processes: estimation

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Identifications optimales de paramètres pour un système linéaire excité par un bruit gaussien

F. Brodeau (1983)

Annales de l'I.H.P. Probabilités et statistiques

Inference about stationary distributions of Markov chains based on divergences with observed frequencies

María Luisa Menéndez, Domingo Morales, Leandro Pardo, Igor Vajda (1999)

Kybernetika

For data generated by stationary Markov chains there are considered estimates of chain parameters minimizing $φ$ –divergences between theoretical and empirical distributions of states. Consistency and asymptotic normality are established and the asymptotic covariance matrices are evaluated. Testing of hypotheses about the stationary distributions based on $φ$ –divergences between the estimated and empirical distributions is considered as well. Asymptotic distributions of $φ$ –divergence test statistics are...

Currently displaying 1 – 2 of 2

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