Maximum Likelihood Estimator and Kullback{leibler Information in Misspeciied Markov Chain Models
نویسندگان
چکیده
Suppose we have speciied a parametric model for the transition distribution of a Markov chain, but that the true transition distribution does not belong to the model. Then the maximum likelihood estimator estimates the parameter which maximizes the Kullback{Leibler information between the true transition distribution and the model. We prove that the maximum likelihood estimator is asymp-totically eecient in a nonparametric sense if the true transition distribution is unknown.
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