Optimal estimating function for weak location‐scale dynamic models

DOI10.1111/JTSA.12684MaRDI QIDQ6176937zbMATH OpenOpenAlexFDO

Authors C. Francq, Jean-Michel Zakoïan

Publication date 24 August 2023

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12684

zbMATH Keywords

conditional momentsoptimality in Godambe's sensesemi-parametric time series

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62Mxx) Economic time series analysis (91B84)

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Cited in

(2)

• Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models
• Inference on breaks in weak location time series models with the estimating function approach

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