Prediction via estimating functions

DOI10.1016/S0378-3758(98)00179-7MaRDI QIDQ1298944zbMATH OpenOpenAlexFDO

Authors A. Thavaneswaran, Christopher C. Heyde

Publication date 23 November 1999

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

Full work available at URL https://doi.org/10.1016/s0378-3758(98)00179-7

zbMATH Keywords

time seriesstable distributionsleast absolute deviationestimating functionsnon-Gaussian modelsrecursive predictionminimum mean squares

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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• A note on filtering for long memory processes
• An Optimum Property of Regular Maximum Likelihood Estimation
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• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
• Linear Bayes and optimal estimation
• On Limit Theorems for Quadratic Functions of Discrete Time Series
• On combining quasi-likelihood estimating functions
• Quasi-likelihood and its application. A general approach to optimal parameter estimation
• Random coefficient autoregressive models: an introduction
• Regression Analsis with Censored Autocorrelated Data
• Time series: theory and methods

Cited in

(29)

• Recent developments in volatility modeling and applications
• Prediction variance and information worth of observations in time series
• Assessment of forecasts and forecast uncertainty using feneralized linear regression models for time series count data
• Inference for some time series models with random coefficients and infinite variance innovations
• Prediction of functions of a stationary process
• scientific article; zbMATH DE number 3967748 (Why is no real title available?)
• Control chart for autocorrelated processes with heavy tailed distributions
• scientific article; zbMATH DE number 65630 (Why is no real title available?)
• Prediction functions for categorical panel data
• Smoothed estimates for models with random coefficients and infinite variance innovations
• RCA model with quadratic GARCH innovation distribution
• Inference for random coefficient volatility models
• Random coefficient GARCH models
• Random coefficient mixture (RCM) GARCH models
• Mellin's transform and application to some time series models
• A Note on the Filtering for Some Time Series Models
• Parameter Estimation in Conditional Heteroscedastic Models
• Prediction from partial data, renormalization, and averaging
• Inflation uncertainty and economic growth: evidence from the LAD ARCH model
• Nonlinear prediction with increasing loss
• Joint estimation using quadratic estimating function
• Nonlinear recursive estimation of volatility via estimating functions
• Forecasting volatility
• Optimized adaptive prediction
• NONPARAMETRIC ESTIMATORS FOR CENSORED CORRELATED DATA
• Combining estimating functions for volatility
• RCA models with correlated errors
• Optimal estimating function for estimation and prediction in semi-parametric models
• Generalized duration models and optimal estimation using estimating functions

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Uses Software

• itsmr

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