On Parameter Estimation for "Polynomial Ergodic" Markov Chains with Polynomial Growth Loss Functions
A.B. Varakin, A.Yu. Veretennikov
2002, v.8, Issue 1, 127-144
ABSTRACT
We establish the Hajek - Le Cam asymptotic efficiency of maximum likelihood estimators for "polynomial ergodic" Markov regular experiments in the class of loss functions with a polynomial growth.
Keywords: asymptotic normality,polynomial loss function,maximum likelihood estimation,Hajek - Le Cam efficiency
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