On parameter estimation for ergodic Markov chains with unbounded loss functions

A Veretennikov
1998 unpublished
We establish the Hajek-Le Cam asymptotic eeciency of maximum likelihood estimators for "polynomially ergodic" Markov regular experiments in the class of loss functions with a polynomial growth.
fatcat:mbmdjssirnfzvlllowgx4h7bhq