The Information in the Marginal Law of a Markov Chain
نویسندگان
چکیده
If we have a parametric model for the invariant distribution of a Markov chain but cannot or do not want to use any information about the transition distribution (except, perhaps, that the chain is reversible) | what, then, is the best use we can make of the observations? It is not optimal to proceed as if the observations were i.i.d. We determine a lower bound for the asymptotic variance of estimators and construct eecient estimators. The results apply in particular to discretely observed diiusions.
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تاریخ انتشار 1998