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Estimation for aggregate models: The aggregate Markov chain
Authors:D. L. Mcleish
Affiliation:Faculty of Mathematics Department of Statistics and Actuarial Science University of Waterloo Waterloo Ontario Canada N2L 3G1
Abstract: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.
Keywords:Inference for stochastic processes  Markov chains  Estimation  aggregate data  least squares  asymptotic efficiency  Martingales  estimating equations
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