Martingale Estimating Functions for Stochastic Processes: A Review Toward a Unifying Tool

DOI10.1007/978-3-319-02651-0_2MaRDI QIDQ5167874zbMATH OpenOpenAlexFDO

Authors S. Y. Hwang, I. V. Basawa

Publication date 2 July 2014

Published in Contemporary Developments in Statistical Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-02651-0_2

zbMATH Keywords

asymptotic optimalityconvolution theoremsergodicestimatingfunctionsmartingalesmaximumlikelihoodnon-ergodic processesquasilikelihood

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(4)

• Non-stationary quasi-likelihood and asymptotic optimality
• Feasible optimum Godambe scores for a semi-parametric GARCH time series
• On the threshold innovation in quasi-likelihood for conditionally heteroscedastic time series
• Some characterizations of non-ergodic estimating functions for stochastic processes

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