Maximum likelihood estimation in possibly misspecified dynamic models with time-inhomogeneous Markov regimes
Demian Pouzo (University of California, Berkeley), Zacharias Psaradakis (Birkbeck, University of London), Martin Sola (Universidad Torcuato di Tella)
| Year of publication: |
December 2016
|
|---|---|
| Authors: | Pouzo, Demian ; Psaradakis, Zacharias G. ; Sola, Martin |
| Publisher: |
London : Birkbeck, University of London, Department of Economics, Mathematics and Statistics |
| Subject: | Autoregressive model | consistency | hidden Markov model | Markov regimes | maximum likelihood | local asymptotic normality | misspecified models | time-inhomogenous Markov chain | Markov-Kette | Markov chain | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process |