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Start Over Author "Kremer, Alexander" Topic kolmogorov complexity Publisher elsevier b.v.
1 results on '"Kremer, Alexander"'

1. Asymptotic normality for discretely observed Markov jump processes with an absorbing state.

Author

Kremer, Alexander and Weißbach, Rafael

Subjects
*ASYMPTOTIC normality, *MARKOV processes, *CONTINUOUS-time filters, *JUMP processes, *STOCHASTIC analysis, *KOLMOGOROV complexity, *ESTIMATION theory
Abstract

Abstract: For a continuous-time Markov process, occasionally, only discrete-time observations are available. For a simple sample of homogeneous Markov jump processes with an absorbing state, observed each on a stochastic grid of time points, we establish asymptotic normality of the maximum likelihood estimator and close the gap in Kremer and Weißbach (2013). By showing that the solution of the Kolmogorov backward equation system is continuous differentiable, we can apply results for M-estimators. [Copyright &y& Elsevier]

Published
2014
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