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- Publisher Website: 10.1111/j.1467-842X.2006.00466.x
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Article: On likelihood estimation for discretely observed Marko jump processes
Title | On likelihood estimation for discretely observed Marko jump processes |
---|---|
Authors | |
Keywords | Discrete observations Likelihood estimator Markov jump process |
Issue Date | 2007 |
Publisher | Blackwell Publishing Asia. The Journal's web site is located at http://www.blackwellpublishing.com/journals/ANZS |
Citation | Australian And New Zealand Journal Of Statistics, 2007, v. 49 n. 1, p. 93-107 How to Cite? |
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. © 2007 Australian Statistical Publishing Association Inc. |
Persistent Identifier | http://hdl.handle.net/10722/132614 |
ISSN | 2023 Impact Factor: 0.8 2023 SCImago Journal Rankings: 0.344 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
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dc.contributor.author | Dehay, D | en_HK |
dc.contributor.author | Yao, JF | en_HK |
dc.date.accessioned | 2011-03-28T09:27:01Z | - |
dc.date.available | 2011-03-28T09:27:01Z | - |
dc.date.issued | 2007 | en_HK |
dc.identifier.citation | Australian And New Zealand Journal Of Statistics, 2007, v. 49 n. 1, p. 93-107 | en_HK |
dc.identifier.issn | 1369-1473 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/132614 | - |
dc.description.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. © 2007 Australian Statistical Publishing Association Inc. | en_HK |
dc.language | eng | en_US |
dc.publisher | Blackwell Publishing Asia. The Journal's web site is located at http://www.blackwellpublishing.com/journals/ANZS | en_HK |
dc.relation.ispartof | Australian and New Zealand Journal of Statistics | en_HK |
dc.subject | Discrete observations | en_HK |
dc.subject | Likelihood estimator | en_HK |
dc.subject | Markov jump process | en_HK |
dc.title | On likelihood estimation for discretely observed Marko jump processes | en_HK |
dc.type | Article | en_HK |
dc.identifier.email | Yao, JF: jeffyao@hku.hk | en_HK |
dc.identifier.authority | Yao, JF=rp01473 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.doi | 10.1111/j.1467-842X.2006.00466.x | en_HK |
dc.identifier.scopus | eid_2-s2.0-33846688007 | en_HK |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-33846688007&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 49 | en_HK |
dc.identifier.issue | 1 | en_HK |
dc.identifier.spage | 93 | en_HK |
dc.identifier.epage | 107 | en_HK |
dc.identifier.eissn | 1467-842X | - |
dc.identifier.isi | WOS:000243909800008 | - |
dc.publisher.place | Australia | en_HK |
dc.identifier.scopusauthorid | Dehay, D=6507469530 | en_HK |
dc.identifier.scopusauthorid | Yao, JF=7403503451 | en_HK |
dc.identifier.citeulike | 1081565 | - |
dc.identifier.issnl | 1369-1473 | - |