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Moderate deviation principle for maximum likelihood estimator for Markov processes

Article ID Journal Published Year Pages File Type
7548851 Statistics & Probability Letters 2018 9 Pages PDF
Abstract
After a short review of the properties of the maximum likelihood estimator for discrete time Markov processes, we obtain a moderate deviation result for such an estimator under some regularity conditions using the Gärtner-Ellis theorem for random processes.
Keywords
62M0560F9962F12Moderate deviationMaximum likelihood estimationMarkov process
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
Moderate deviation principle for maximum likelihood estimator for Markov processes
Authors
B.L.S. Prakasa Rao,
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Journal
Statistics & Probability Letters
Journal: Statistics & Probability Letters
Related Categories
62M05
60F99
62F12
Moderate deviation
Maximum likelihood estimation
Markov process
Algebra and Number Theory
Analysis
Applied Mathematics
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