Maximum likelihood estimator and Kullback - Leibler information in misspecified Markov chain models
نویسندگان
چکیده
منابع مشابه
Maximum Likelihood Estimator and Kullback{leibler Information in Misspeciied Markov Chain Models
Suppose we have speciied a parametric model for the transition distribution of a Markov chain, but that the true transition distribution does not belong to the model. Then the maximum likelihood estimator estimates the parameter which maximizes the Kullback{Leibler information between the true transition distribution and the model. We prove that the maximum likelihood estimator is asymp-totical...
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ژورنال
عنوان ژورنال: Теория вероятностей и ее применения
سال: 1997
ISSN: 0040-361X
DOI: 10.4213/tvp1718