- Volume 5, Number 1 (1999), 109-123.
Reversible Markov chains and optimality of symmetrized empirical estimators
Suppose that we want to estimate the expectation of a function of two arguments under the stationary distribution of two successive observations of a reversible Markov chain. Then the usual empirical estimator can be improved by symmetrizing. We show that the symmetrized estimator is efficient. We point out applications to discretely observed continuous-time processes. The proof is based on a result for general Markov chain models which can be used to characterize efficient estimators in any model defined by restrictions on the stationary distribution of a single or two successive observations.
Bernoulli, Volume 5, Number 1 (1999), 109-123.
First available in Project Euclid: 12 March 2007
Permanent link to this document
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Greenwood, Priscilla E.; Wefelmeyer, Wolfgang. Reversible Markov chains and optimality of symmetrized empirical estimators. Bernoulli 5 (1999), no. 1, 109--123. https://projecteuclid.org/euclid.bj/1173707097