Prediction via estimating functions

DOI10.1016/S0378-3758(98)00179-7zbMath0929.62096OpenAlexW2030895905MaRDI QIDQ1298944

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)

Related Items (20)

RCA models with correlated errors ⋮ Control Chart for Autocorrelated Processes with Heavy Tailed Distributions ⋮ Joint estimation using quadratic estimating function ⋮ Inflation uncertainty and economic growth: evidence from the LAD ARCH model ⋮ Nonlinear recursive estimation of volatility via estimating functions ⋮ RCA model with quadratic GARCH innovation distribution ⋮ Mellin's transform and application to some time series models ⋮ Optimal estimating function for estimation and prediction in semi-parametric models ⋮ Inference for random coefficient volatility models ⋮ Recent developments in volatility modeling and applications ⋮ Generalized duration models and optimal estimation using estimating functions ⋮ Smoothed estimates for models with random coefficients and infinite variance innovations ⋮ Inference for some time series models with random coefficients and infinite variance innovations ⋮ A Note on the Filtering for Some Time Series Models ⋮ Combining estimating functions for volatility ⋮ Parameter Estimation in Conditional Heteroscedastic Models ⋮ NONPARAMETRIC ESTIMATORS FOR CENSORED CORRELATED DATA ⋮ Forecasting volatility ⋮ Random coefficient GARCH models ⋮ Random coefficient mixture (RCM) GARCH models

Uses Software

• itsmr

Cites Work

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

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