Skip to main content
Log in

Maximum likelihood estimation for Markov processes

  • Published:
Annals of the Institute of Statistical Mathematics Aims and scope Submit manuscript

This is a preview of subscription content, log in via an institution to check access.

Access this article

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

References

  1. Billingsley, P. (1961).Statistical Inference for Markov Processes, The University of Chicago Press.

  2. Billingsley, P. (1961). The Lindeberg-Levy theorem for martingales,Proc. Amer. Math. Soc.,12, 788–792.

    Article  MATH  MathSciNet  Google Scholar 

  3. Daniels, H. (1961). The asymptotic efficiency of a maximum likelihood estimator,Proc. Fourth Berkerley Symp. Math. Statist. Prob.,1, 151–163.

    MATH  MathSciNet  Google Scholar 

  4. Doob, J. L. (1953).Stochastic Processes, Wiley, New York.

    MATH  Google Scholar 

  5. Huber, P. J. (1967). The behavior of maximum likelihood estimates under nonstandard conditions,Proc. Fifth Berkeley Symp. Math. Statist. Prob.,1, 221–233.

    MATH  MathSciNet  Google Scholar 

  6. Ibragimov, I. A. (1963). A central limit theorem for a class of dependent random variables,Theory of Prob. and Appl.,8, 83–89.

    Article  MATH  Google Scholar 

  7. Loeve, M. (1963).Probability Theory, Von Nostrand, Princeton.

    Google Scholar 

  8. Prakasa Rao, B. L. S. (1968). Estimation of the location of the cusp of a continuous density,Ann. Math. Statist.,39, 76–87.

    MATH  MathSciNet  Google Scholar 

  9. Roussas, G. G. (1965). Extension to Markov Processes of a result by A. Wald about consistency of the maximum likelihood estimate,Z. Wahrscheinlichkeitstheorie Verw. Geb.,4, 69–73.

    Article  MATH  MathSciNet  Google Scholar 

  10. Roussas, G. G. (1965). Asymptotic inference in Markov Processes,Ann. Math. Statist.,36, 978–992.

    MATH  MathSciNet  Google Scholar 

Download references

Authors

About this article

Cite this article

Prakasa Rao, B.L.S. Maximum likelihood estimation for Markov processes. Ann Inst Stat Math 24, 333–345 (1972). https://doi.org/10.1007/BF02479763

Download citation

  • Received:

  • Revised:

  • Issue Date:

  • DOI: https://doi.org/10.1007/BF02479763

Keywords

Navigation