Improved estimators for constrained Markov chain models

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.

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Year of publication:	2001
Authors:	Müller, Ursula U. ; Schick, Anton ; Wefelmeyer, Wolfgang
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 54.2001, 4, p. 427-435
Publisher:	Elsevier
Keywords:	Empirical estimator Asymptotically linear estimator Influence function Regular estimator Markov chain model Reversible chain Symmetric chain Linear autoregression

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005211768