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Estimation for aggregate models: The aggregate Markov chain
Author(s) -
Mcleish D. L.
Publication year - 1984
Publication title -
canadian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.804
H-Index - 51
eISSN - 1708-945X
pISSN - 0319-5724
DOI - 10.2307/3314810
Subject(s) - estimator , markov chain , aggregate (composite) , econometrics , mathematics , martingale (probability theory) , limit (mathematics) , statistics , mathematical analysis , materials science , composite material
An argument in favour of projecting the score function for models involving incomplete data is presented. Projection is then applied to the aggregate Markov‐chain model resulting in weighted least‐squares estimators. The limit theory and efficiency of these estimators are studied using martingale limit theory.