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- Title
ON LIKELIHOOD ESTIMATION FOR DISCRETELY OBSERVED MARKOV JUMP PROCESSES.
- Authors
Dehay, Dominique; Jian-Feng Yao
- Abstract
The parameter estimation problem for a Markov jump process sampled at equidistant time points is considered here. Unlike the diffusion case where a closed form of the likelihood function is usually unavailable, here an explicit expansion of the likelihood function of the sampled chain is provided. Under suitable ergodicity conditions on the jump process, the consistency and the asymptotic normality of the likelihood estimator are established as the observation period tends to infinity. Simulation experiments are conducted to demonstrate the computational facility of the method.
- Subjects
PARAMETERS (Statistics); MARKOV processes; JUMP processes; MARKOV operators; STOCHASTIC processes
- Publication
Australian & New Zealand Journal of Statistics, 2007, Vol 49, Issue 1, p93
- ISSN
1369-1473
- Publication type
Article
- DOI
10.1111/j.1467-842X.2006.00466.x