Joint estimation using quadratic estimating function

DOI10.1155/2011/372512zbMath1229.62124OpenAlexW1977481190WikidataQ58692014 ScholiaQ58692014MaRDI QIDQ642439

A. Thavaneswaran, You Liang, Bovas Abraham

Publication date: 26 October 2011

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2011/372512

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Martingales with continuous parameter (60G44)

Related Items (7)

Modeling financial durations using penalized estimating functions ⋮ Estimating function method for nonnegative autoregressive models ⋮ Inference for random coefficient volatility models ⋮ Generalized duration models and optimal estimation using estimating functions ⋮ Estimation, filtering and smoothing in the stochastic conditional duration model: an estimating function approach ⋮ Combined estimating function for random coefficient models with correlated errors ⋮ Estimating function method for product autoregressive models

Cites Work

• Combining estimating functions for volatility
• Using empirical partially Bayes inference for increased efficiency
• Prediction via estimating functions
• Transform martingale estimating functions
• The foundations of finite sample estimation in stochastic processes
• SOME DOUBLY STOCHASTIC TIME SERIES MODELS
• On linear and quadratic estimating functions
• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Filtering and Smoothing Via Estimating Functions
• Estimating functions for nonlinear time series models

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