Transform martingale estimating functions

DOI10.1214/009053607000000299zbMath1126.62074arXiv0711.3577OpenAlexW3099573573MaRDI 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

efficiencyoptimalityquasi-likelihoodorthogonal projectionsemimartingaleempirical transformsmartingale information

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Martingales with discrete parameter (60G42) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05) Characteristic functions; other transforms (60E10) Inference from stochastic processes (62M99) Applications of functional analysis in probability theory and statistics (46N30)

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Modeling financial durations using penalized estimating functions ⋮ Joint estimation using quadratic estimating function ⋮ Nonlinear recursive estimation of volatility via estimating functions ⋮ Inference for random coefficient volatility models ⋮ Generalized duration models and optimal estimation using estimating functions ⋮ Inference based on adaptive grid selection of probability transforms ⋮ Combined estimating function for random coefficient models with correlated errors

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