Maximum spacing estimation for dependent variables

Sammanfattning

For independent and identically distributed univariate observations a new estimation method, the maximum spacing (MSP) method, was defined in Ranneby (Scand. J. Statist. 11 (1984)) and independently by Cheng and Amin (J. Roy. Statist. Soc. B 45 (1983)). The idea behind the method, as described by Ranneby (1984), is to approximate the Kullback-Leibler information so that each contribution is bounded from above. In the present paper, the MSP method is extended to Markov and semi-Markov chains with continuous time. Consistency of the MSP estimate is proved. Furthermore, the extension to m-dependent stationary processes is discussed.

Publicerad i

Titel: 2012 JSM Proceedings
Utgivare: American Statistical Association

Konferens

Joint statistical meeting 2012

SLU författare

• Kuljus, Kristi

  • Institutionen för skogsekonomi, Sveriges lantbruksuniversitet
    

• Ranneby, Bo

  • Institutionen för skogsekonomi, Sveriges lantbruksuniversitet
    

UKÄ forskningsämne

Sannolikhetsteori och statistik

Publikationens identifierare

• ISBN: 9780983937524

Permanent länk till denna sida (URI)

https://res.slu.se/id/publ/42786