Optimal estimating function for estimation and prediction in semi-parametric models

DOI10.1016/J.JSPI.2008.01.009MaRDI QIDQ935460zbMATH OpenOpenAlexFDO

Authors T. M. Durairajan, Martin L. William

Publication date 6 August 2008

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2008.01.009

zbMATH Keywords

predictionsemiparametric modelsestimating function

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and prediction (62M20)

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• A generalized quasi-likelihood estimation
• An Optimum Property of Regular Maximum Likelihood Estimation
• An extension of quasi-likelihood estimation
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• Characterization and uniqueness of optimal estimating function
• Conditional likelihood and unconditional optimum estimating equations
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• Equivalence of various optimality criteria for estimating functions
• Essential uniqueness of optimal estimating functions
• Estimating functions for branching processes
• Estimation of the means in the branching process with immigration
• Fiducial Theory and Invariant Prediction
• Information geometry of estimating functions in semi-parametric statistical models
• On Asymptotic Prediction Problems for Autoregressive Models with Explosive and Other Roots
• Optimal estimating function for non-orthogonal model
• Optimality of unbiased predictors
• Prediction via estimating functions
• Relation of the best invariant predictor and the best unbiased predictor in location and scale families
• The foundations of finite sample estimation in stochastic processes

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