Local asymptotic normality and mixed normality for Markov statistical models
Probability Theory and Related Fields, 1990 We prove local asymptotic normality (resp. local asymptotic mixed normality) of a statistical experiment, when the observation is a positive-recurrent (resp. null-recurrent, with an additional technical assumption) Markov chain or Markov step process, under rather mild regularity assumptions on the transition kernel for Markov chains, and on the ...
R. Höpfner, J. Jacod, L. Ladelli
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Local asymptotic normality and efficient estimation for INAR(p) models [PDF]
SSRN Electronic Journal, 2008 Abstract. Integer‐valued autoregressive (INAR) processes have been introduced to model non‐negative integer‐valued phenomena that evolve in time. The distribution of an INAR(p) process is determined by two parameters: a vector of survival probabilities and a probability distribution on the non‐negative integers, called an immigration distribution ...
F. C. Drost +2 more
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Local asymptotic normality of statistical models of discrete martingales
Lietuvos Matematikos Rinkinys, 2023 We establish general conditions assuring the local asymptotic normality of statistical experiments of discrete or purely discontinuous local martingales obtained models of point processes of all types were found out.
Vaidotas Kanišauskas
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A note on limits of sequences of binary trees [PDF]
Discrete Mathematics & Theoretical Computer Science, 2023 We discuss a notion of convergence for binary trees that is based on subtree sizes. In analogy to recent developments in the theory of graphs, posets and permutations we investigate some general aspects of the topology, such as a characterization of the ...
Rudolf Grübel
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Local asymptotic normality for shape and periodicity of a signal in the drift of a degenerate diffusion with internal variables [PDF]
Electronic Journal of Statistics, 2019 Taking a multidimensional time-homogeneous dynamical system and adding a randomly perturbed time-dependent deterministic signal to some of its components gives rise to a high-dimensional system of stochastic differential equations which is driven by ...
S. Holbach
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Generalized Partially Functional Linear Model with Unknown Link Function
Axioms, 2023 In existing models with an unknown link function, the issue of predictors containing both multiple functional data and multiple scalar data has not been studied. To fill this gap, we propose a generalized partially functional linear model, which not only
Weiwei Xiao, Songxuan Li, Haiyan Liu
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Local asymptotic normality property for fractional Gaussian noise under high-frequency observations [PDF]
Annals of Statistics, 2016 Local Asymptotic Normality (LAN) property for fractional Gaussian noise under high-frequency observations is proved with a non-diagonal rate matrix depending on the parameter to be estimated.
A. Brouste, M. Fukasawa
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Equivalence Classes and Local Asymptotic Normality in System Identification for Quantum Markov Chains [PDF]
Communications in Mathematical Physics, 2014 We consider the problem of identifying and estimating dynamical parameters of an ergodic quantum Markov chain, when only the stationary output is accessible for measurements. The starting point of the analysis is the fact that the knowledge of the output
M. Guţă, J. Kiukas
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Asymptotic inference for a stochastic differential equation with uniformly distributed time delay [PDF]
, 2015 For affine stochastic differential equation with uniformly distributed time delay the local asymptotic properties of the likelihood function are studied.
Benke, János Marcell, Pap, Gyula
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GMM Estimation of a Partially Linear Additive Spatial Error Model
Mathematics, 2021 This article presents a partially linear additive spatial error model (PLASEM) specification and its corresponding generalized method of moments (GMM).
Jianbao Chen, Suli Cheng
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