Prediction‐based estimating functions
From MaRDI portal
Publication:2707866
DOI10.1111/1368-423X.00042zbMath0998.62071MaRDI QIDQ2707866
Publication date: 28 November 2002
Published in: The Econometrics Journal (Search for Journal in Brave)
stochastic differential equationconsistencyasymptotic normalitymixingdiffusion processesquasi-likelihoodstock pricesmartingale estimating functionsstochastic volatility modellinear predictorsoptimal estimating functionsdiscrete time observation of continuous time modelssum of Ornstein-Uhlenbeck-type processes
Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)
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