Joint estimation using quadratic estimating function

DOI10.1155/2011/372512MaRDI QIDQ642439zbMATH OpenOpenAlexWikidataFDO

Authors A. Thavaneswaran, You Liang, Bovas Abraham

Publication date 26 October 2011

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

Copyright license Creative Commons Attribution 4.0 International

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

Mathematics Subject Classification ID

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

Review text

Summary: A class of martingale estimating functions is convenient and plays an important role for inference for nonlinear time series models. However, when the information about the first four conditional moments of the observed process becomes available, the quadratic estimating functions are more informative. In this paper, a general framework for joint estimation of conditional mean and variance parameters in time series models using quadratic estimating functions is developed. Superiority of the approach is demonstrated by comparing the information associated with the optimal quadratic estimating function with the information associated with other estimating functions. The method is used to study the optimal quadratic estimating functions of the parameters of autoregressive conditional duration (ACD) models, random coefficient autoregressive (RCA) models, doubly stochastic models and regression models with ARCH errors. Closed-form expressions for the information gain are also discussed in some detail.

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Cites work

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Cited in

(8)

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

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