EFFICIENCY OF EMPIRICAL ESTIMATORS FOR MARKOV-CHAINS

被引：22

作者：

GREENWOOD, PE ^{[1
]}

WEFELMEYER, W ^{[1
]}

机构：

[1] UNIV SIEGEN,D-57068 SIEGEN,GERMANY

来源：

ANNALS OF STATISTICS | 1995年 / 23卷 / 01期

关键词：

EFFICIENCY; EMPIRICAL ESTIMATOR; MARKOV CHAIN;

D O I：

10.1214/aos/1176324459

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Suppose we observe a uniformly ergodic Markov chain with unknown transition distribution. The empirical estimator for a linear functional of the (invariant) joint distribution of two successive observations is defined using the pairs of successive observations. Its efficiency is proved using a martingale approximation. As a corollary we show efficiency of the empirical joint distribution function in the sense of a functional convolution theorem.

引用

页码：132 / 143

页数：12

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