Conference paper, 2012
Maximum spacing estimation for dependent variables
Kuljus, Kristi; Ranneby, BoAbstract
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.Published in
Book title: 2012 JSM ProceedingsISBN: 9780983937524
Publisher: American Statistical Association
Conference
Joint statistical meeting 2012Authors' information
Kuljus, Kristi
Swedish University of Agricultural Sciences, Department of Forest Economics
Swedish University of Agricultural Sciences, Department of Forest Economics
UKÄ Subject classification
Probability Theory and Statistics
URI (permanent link to this page)
https://res.slu.se/id/publ/42786