A point on discrete vs continuous state-space markov chains/A comparison of estimation techniques for copula-based Markov chains
Document Type
Lecture
Publication Date
3-9-2023
Abstract
In this talk a Bernoulli Markov chain based on the Mardia copula family is considered. We obtain estimators for the parameters in the structure of the Markov chain and provide their confidence intervals. Moreover, for Markov chains generated by symmetric copulas with uniform marginals we provide new estimators and confidence intervals for copula parameters by considering several families of copulas introduced in Longla(2023). A simulation study is provided with a comparison to other known estimators such as the MLE and that of Longla and Peligrad (2021). We then make a comparison of discrete versus continuous state-space Markov chains.
Relational Format
presentation
Recommended Citation
Muia, Mathias Nthiani and Hamadou, Mous-Abou, "A point on discrete vs continuous state-space markov chains/A comparison of estimation techniques for copula-based Markov chains" (2023). Probability & Statistics Seminar. 20.
https://egrove.olemiss.edu/math_statistics/20
