WIAS Preprint No. 448, (1998)

On parameter estimation for ergodic Markov chains withunbounded loss functions


  • Veretennikov, Alexandre Yu.

2010 Mathematics Subject Classification

  • 62-02 62F12


  • Asymptotic normality, efficiency, polynomial loss function, maximum likelihood estimation, Hajek - Le Cam efficiency


We establish the Hajek - Le Cam asymptotic efficiency of maximum likelihood estimators for "polynomially ergodic" Markov regular experiments in the class of loss functions with a polynomial growth.

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