Generalized duration models and optimal estimation using estimating functions

DOI10.1007/s10463-013-0442-9zbMath1331.62106MaRDI QIDQ2255169

A. Thavaneswaran, You Liang, Ravishanker, Nalini

Publication date: 6 February 2015

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-013-0442-9

zbMATH Keywords

random coefficients; ACD models; recursive estimates; combined estimating functions; generalized martingale differences; quadratic log-SCD models

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F10: Point estimation

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