Matrix asymptotic calculus for plug-in maximum likelihood estimators in finite Markov chains

Résumé fourni par la source

In this work, we develop a unified matrix-level asymptotic calculus for plug-in non-parametric maximum likelihood estimators in finite Markov models. Starting from the asymptotic distribution of the estimated transition matrix, the limiting object is kept in its natural matrix form as a Gaussian random matrix, while the corresponding row-wise vector representation remains immediately available. The main point is that the stochastic constraints of the transition matrix need not be removed by a minimal parametrization: they are carried by the tangent directions and by the covariance structure of the limiting Gaussian matrix, whereas the relevant differentials are computed directly in matrix spaces. A single stochastic calculus theorem gives first-order limit distributions, finite-order developments for sufficiently differentiable functionals, and analytic expansions when the functional is analytic. This provides a common source for asymptotic formulas for matrix powers, stationary characteristics, finite-dimensional curves of Markov characteristics, additive-functional variances, entropy-type quantities and reliability indicators. The resulting covariance operators lead directly to confidence intervals, confidence regions, simultaneous finite-dimensional bands and Wald-type tests. Since the derivations are expressed through matrix products and Kronecker representations rather than coordinate-wise calculations, the method also gives substantial simplifications and, in many cases, computational gains. The second-order terms identify curvature corrections of smooth functionals and provide refined approximations whenever higher-order information is useful.

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