Asymptotic normality of maximum likelihood estimators for multiparameter Markov chains

Mohammad H. Al-Towaiq

doi:10.1080/02522667.1999.10699420

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Asymptotic normality of maximum likelihood estimators for multiparameter Markov chains

Mohammad H. Al-Towaiq

Year: 1999 Journal: Journal of Information and Optimization Sciences Vol: 20 (2)Pages: 309-312 Publisher: Taylor & Francis

DOI: 10.1080/02522667.1999.10699420

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Abstract

Abstract In this work, the asymptotic normality of Maximum likelihood Estimators (MLE) for multiparameter Markov chains is proved. The proof is based on the sketch of Rao (1973). Some details and gaps had to be filled out.

Keywords:

Markov chain Estimator Mathematics Asymptotic distribution Normality Maximum likelihood Sketch Local asymptotic normality Applied mathematics Statistics Econometrics Algorithm

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Bayesian Methods and Mixture Models

Physical Sciences → Computer Science → Artificial Intelligence

Statistical Methods and Inference

Physical Sciences → Mathematics → Statistics and Probability

Markov Chains and Monte Carlo Methods

Physical Sciences → Mathematics → Statistics and Probability

Asymptotic normality of maximum likelihood estimators for multiparameter Markov chains

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