Prediction‐based estimating functions
From MaRDI portal
Publication:2707866
DOI10.1111/1368-423X.00042zbMath0998.62071MaRDI QIDQ2707866
Publication date: 28 November 2002
Published in: The Econometrics Journal (Search for Journal in Brave)
stochastic differential equation; consistency; asymptotic normality; mixing; diffusion processes; quasi-likelihood; stock prices; martingale estimating functions; stochastic volatility model; linear predictors; optimal estimating functions; discrete time observation of continuous time models; sum of Ornstein-Uhlenbeck-type processes
62M20: Inference from stochastic processes and prediction
62P05: Applications of statistics to actuarial sciences and financial mathematics
62M05: Markov processes: estimation; hidden Markov models
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