Stationary Exponential Families

A stationary exponential family is defined using transition densities which take the form of exponentiated symmetric k-linear forms on Rd. Estimation is based on a mean value parametrization through a convex function on a finite-dimensional vector space. A consistency theorem and a central limit the...

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Bibliographic Details
Published in:The Annals of statistics 1995-02, Vol.23 (1), p.327-337
Main Author: Dinwoodie, I. H.
Format: Article
Language:English
Subjects:
60G10
62M05
Central limit theorem
chain of finite order
Covariance matrices
Density
Eigenvalues
Estimators
Exact sciences and technology
Exponential family
Inference from stochastic processes
time series analysis
Markov chains
Mathematical vectors
Mathematics
Probability and statistics
Sciences and techniques of general use
stationary process
Stationary processes
Statistics
Time Series
Transition probabilities
Vector spaces
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Description
Summary:A stationary exponential family is defined using transition densities which take the form of exponentiated symmetric k-linear forms on Rd. Estimation is based on a mean value parametrization through a convex function on a finite-dimensional vector space. A consistency theorem and a central limit theorem are presented.
ISSN:0090-5364
2168-8966
DOI:10.1214/aos/1176324470