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arXiv · 1601.08174

On Multi-step MLE-process for Markov Sequences

Yury A. Kutoyants·Anastasia Motrunich
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Abstract

We consider the problem of the construction of the estimator-process of the unknown finite-dimensional parameter in the case of the observations of nonlinear autoregressive process. The estimation is done in two or three steps. First we estimate the unknown parameter by a learning relatively short part of observations and then we use the one-step MLE idea to construct an-estimator process which is asymptotically equivalent to the MLE. To have the learning interval shorter we introduce the two-step procedure which leads to the asymptotically efficient estimator-process too. The presented results are illustrated with the help of two numerical examples.

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Yury A. Kutoyants, Anastasia Motrunich. 2016-01-29. On Multi-step MLE-process for Markov Sequences. https://doi.org/10.1007/s00184-015-0574-4

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