Transform martingale estimating functions

DOI10.1214/009053607000000299zbMath1126.62074arXiv0711.3577MaRDI QIDQ2466679

T. Merkouris

Publication date: 16 January 2008

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

Full work available at URL: https://arxiv.org/abs/0711.3577

zbMATH Keywords

efficiency; optimality; quasi-likelihood; orthogonal projection; semimartingale; empirical transforms; martingale information

Mathematics Subject Classification ID

62G20: Asymptotic properties of nonparametric inference

60G42: Martingales with discrete parameter

62M09: Non-Markovian processes: estimation

62M05: Markov processes: estimation; hidden Markov models

60E10: Characteristic functions; other transforms

62M99: Inference from stochastic processes

46N30: Applications of functional analysis in probability theory and statistics

Related Items

Joint estimation using quadratic estimating function, Nonlinear recursive estimation of volatility via estimating functions

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