Sample splitting with Markov chains

Abstract

Sample splitting techniques play an important role in constructing estimates with prescribed influence functions in semi-parametric and nonparametric models when the observations are independent and identically distributed. This paper shows how a contiguity result can be used to modify these techniques to the case when the observations come from a stationary and ergodic Markov chain. As a consequence, sufficient conditions for the construction of efficient estimates in semi-parametric Markov chain models are obtained. The applicability of the resulting theory is demonstrated by constructing an estimate of the innovation variance in a nonparametric autoregression model, by constructing a weighted least-squares estimate with estimated weights in an autoregressive model with martingale innovations, and by constructing an efficient and adaptive estimate of the autoregression parameter in a heteroscedastic autoregressive model with symmetric errors.