On the recursive parameter estimation in the general discrete time statistical model

The consistency and asymptotic linearity of recursive maximum likelihood estimator is proved under some regularity and ergodicity assumptions on the logarithmic derivative of a transition density for a general statistical model. Â©Â 1998 Elsevier Science B.V.

MoreLess

Year of publication:	1998
Authors:	Sharia, Teo
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 73.1998, 2, p. 151-172
Publisher:	Elsevier
Keywords:	Recursive estimation Conditional density of distribution Martingales Stochastic approximation

More details

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008872695