Quasi-likelihood models and optimal inference

DOI10.1214/aos/1033066217zbMath0853.62066OpenAlexW2079562898MaRDI QIDQ1922414

Wolfgang Wefelmeyer

Publication date: 1 September 1996

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1033066217

zbMATH Keywords

conditional momentsautoregressive modelergodic Markov chainestimating equationsefficient estimatorsquasi-likelihood modelmaximum quasi-likelihood estimatortransition distributionweighted nonlinear one-step least squares estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05)

Related Items (20)

Asymptotic properties of Monte Carlo estimators of diffusion processes ⋮ Nonparametric estimating equations based on a penalized information criterion ⋮ An efficient estimator for the expectation of a bounded function under the residual distribution of an autoregressive process ⋮ Joint and marginal specification tests for conditional mean and variance models ⋮ Variance bounds for estimators in autoregressive models with constraints ⋮ Adaptive estimation in time-series models ⋮ Efficient Estimation of Auto-Regression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models ⋮ Estimating functionals of the error distribution in parametric and nonparametric regression ⋮ The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models ⋮ Non-stationary quasi-likelihood and asymptotic optimality ⋮ Some characterizations of non-ergodic estimating functions for stochastic processes ⋮ A higher order correlation unscented Kalman filter ⋮ R-estimation in semiparametric dynamic location-scale models ⋮ Martingale Estimating Functions for Stochastic Processes: A Review Toward a Unifying Tool ⋮ Non-ergodic martingale estimating functions and related asymptotics ⋮ Some developments in semiparametric statistics ⋮ Threshold \(\text{Arch}(1)\) processes: Asymptotic inference ⋮ SEM modeling with singular moment matrices Part III: GLS estimation ⋮ ON THE ASYMPTOTIC EFFICIENCY OF GMM ⋮ Estimation for a class of generalized state-space time series models.

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