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Conference paper, 2012

Maximum spacing estimation for dependent variables

Kuljus, Kristi; Ranneby, Bo

Abstract

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 Proceedings
ISBN: 9780983937524
Publisher: American Statistical Association

Conference

Joint statistical meeting 2012

Authors' 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