Generalized duration models and optimal estimation using estimating functions
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Publication:2255169
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
random coefficients; ACD models; recursive estimates; combined estimating functions; generalized martingale differences; quadratic log-SCD models
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F10: Point estimation
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