Quasi-Likelihood and Optimal Estimation, Correspondent Paper
From MaRDI portal
Publication:3823613
DOI10.2307/1403403zbMath0671.62007OpenAlexW2327639851MaRDI QIDQ3823613
V. P. Godambe, Christopher C. Heyde
Publication date: 1987
Published in: International Statistical Review / Revue Internationale de Statistique (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1403403
martingale estimating functionssquare integrable martingalesquasi-score functionmaximum quasi-likelihood estimatorquasi-likelihood equationoptimal in the asymptotic senseoptimality of estimating functionszero mean, square integrable estimating functions
Related Items
European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty ⋮ Joint estimation of the offspring mean and offspring variance of a second order branching process ⋮ The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes ⋮ Knowledge Learning of Insurance Risks Using Dependence Models ⋮ Improved Semiparametric Estimation of the Proportional Rate Model with Recurrent Event Data ⋮ Data-driven chimney fire risk prediction using machine learning and point process tools ⋮ Temporally local maximum likelihood with application to SIS model ⋮ A higher-order correct fast moving-average bootstrap for dependent data ⋮ Optimal estimating function for weak location‐scale dynamic models ⋮ Effects of Variance‐Function Misspecification in Analysis of Longitudinal Data ⋮ Inference for stochastic neuronal models ⋮ Inference for stochastic neuronal models ⋮ On quasi‐likelihood estimation for branching processes with immigration ⋮ Optimum percentile estimating equations for nonlinear random coefficient models ⋮ Truncated quasi-score function in the 1-dependent and stationary case ⋮ Robust inference for bivariate point processes ⋮ On count time series prediction ⋮ Dynamic Pricing with Multiple Products and Partially Specified Demand Distribution ⋮ Profile quasi-likelihood ⋮ Inference and martingale estimating equations for stochastic processes on a semigroup ⋮ Prediction-based estimation for diffusion models with high-frequency data ⋮ Nonparametric estimating equations based on a penalized information criterion ⋮ Information quantities in non-classical settings ⋮ Eigenfunction martingale estimating functions and filtered data for drift estimation of discretely observed multiscale diffusions ⋮ A GEE approach for estimating size of hard-to-reach population by using capture–recapture data ⋮ A quasi-likelihood approach to the REML estimating equations ⋮ A quasi likelihood for integral data on birth and death on flows ⋮ Outlier detection tests based on martingale estimating equations for stochastic processes ⋮ Estimating dynamic equilibrium models using mixed frequency macro and financial data ⋮ On the strong law of large numbers of multivariate martingales with random norming ⋮ Martingale estimation functions for Bessel processes ⋮ On combining quasi-likelihood estimating functions ⋮ Conditional least squares estimation in nonstationary nonlinear stochastic regression models ⋮ Optimal estimating functions and wedderburn's quasi-likelihood ⋮ A note on estimating equations for linear parameters in discrete-time stochastic processes ⋮ On the efficiency of estimators of a spectral density multivariate parameter ⋮ Higher Moments and Prediction‐Based Estimation for the COGARCH(1,1) Model ⋮ Efficiency of estimators for partially specified filtered models ⋮ An inference procedure for conflict models ⋮ Optimal estimating functions, quasi-likelihood and statistical modelling ⋮ Optimal robust estimation for discrete time stochastic processes ⋮ On asymptotic optimality of estimating functions ⋮ Estimation for discretely observed diffusions using transform functions ⋮ Restricted quasi-score estimating functions for sample survey data ⋮ A review of asymptotic theory of estimating functions ⋮ On spaces of estimating functions ⋮ Estimation of regression and dynamic dependence paremeters for non-stationary multinomial time series ⋮ QUASI-LIKELIHOOD INFERENCE FOR NEGATIVE BINOMIAL TIME SERIES MODELS ⋮ Joint integrative analysis of multiple data sources with correlated vector outcomes ⋮ Empirical likelihood inference for estimating equation with missing data ⋮ On the use of quasi-likelihood for estimation in hidden Markov random fields ⋮ Regularity, partial regularity, partial information process, for a filtered statistical model ⋮ Parameter estimation in infinite-dimensional stochastic differential equations ⋮ Quasi-likelihood models and optimal inference ⋮ An alternative derivation of the Kalman filter using the quasi-likelihood method ⋮ Empirical and weighted conditional likelihoods for matched case-control studies with missing covariates ⋮ Stochastic methodology for the study of an epidemic decay phase, based on a branching model ⋮ A transformation approach to modelling multi-modal diffusions ⋮ Parametric inference for discretely observed subordinate diffusions ⋮ Regularization of Bayesian quasi-likelihoods constructed from complex estimating functions ⋮ Estimation of parameters in survey sampling: Optimality ⋮ Finite sample optimality of maximum partial likelihood estimation in Cox's model for counting processes ⋮ Identification of stochastic nonlinear models using optimal estimating functions ⋮ Statistical inference for discrete-time samples from affine stochastic delay differential equations ⋮ Estimating population size from multiple recapture experiments ⋮ Nonlinear recursive estimation of volatility via estimating functions ⋮ An Estimation Function for the Rate of Drift, Dispersion, Injection, and Decay of Transient Tracers ⋮ Some properties of an estimator for the basic reproduction number of the general epidemic model ⋮ An empirical likelihood approach to quantile regression with auxiliary information ⋮ Moment conditions selection based on adaptive penalized empirical likelihood ⋮ Proper Bayesian estimating equation based on Hilbert space method ⋮ Estimation and testing linearity for non-linear mixed Poisson autoregressions ⋮ Unnamed Item ⋮ Estimating parameters of diffusion process with unreachable boundary ⋮ Properties of modelling the error distribution with an extra shape parameter ⋮ A quasi-likelihood approach to model bernoulli data with spatial dependence ⋮ Transform martingale estimating functions ⋮ Joint estimation of offspring mean and offspring variance of controlled branching process ⋮ Convergence to Normality of the Asymptotic Quasi-Score Function on a Linear Model ⋮ New developments in inference for temporal stochastic processes ⋮ Optimal estimation for semimartingale neuronal models ⋮ Semiparametric estimation of a class of generalized linear models without smoothing ⋮ Asymptotic properties of CLS estimators in the Poisson AR(1) model ⋮ Generalized quasi-likelihood ⋮ An approximately optimal non-parametric procedure for analyzing exchangeable binary data with random cluster sizes ⋮ Estimating Equations with Nonignorably Missing Response Data ⋮ Capture–Recapture When Time and Behavioral Response Affect Capture Probabilities ⋮ Estimating Equations for Removal Data Analysis ⋮ The weighted method of moments approach for moment condition models ⋮ The INARCH(1) Model for Overdispersed Time Series of Counts ⋮ Semiparametric efficient estimation for the auxiliary outcome problem with the conditional mean model ⋮ Quasi Bayesian likelihood ⋮ A hierarchical max-stable spatial model for extreme precipitation ⋮ A Pairwise Likelihood Procedure for Analyzing Exchangeable Binary Data with Random Cluster Sizes ⋮ Large deviation probabilities in estimation of Poisson random measures ⋮ Estimating functions for conditional inference: many nuisance parameter case ⋮ SEMIPARAMETRIC CONFIDENCE INTERVALS BASED ON ESTIMATING FUNCTIONS ⋮ On quasi likelihood for semimartingales ⋮ Combining moment estimates of a parameter common through strata ⋮ Asymptotic likelihood estimation from birth and death on a flow ⋮ A minimax approach to consistency and efficiency for estimating equations ⋮ Moment based approaches to Value the Risk of contingent claim portfolios ⋮ An extension of quasi-likelihood estimation ⋮ Maximum likelihood estimation for the drift parameter in diffusion processes ⋮ Bartlett identities and large deviations in likelihood theory ⋮ On asymptotic quasi-likelihood estimation ⋮ Regression analysis of stochastic fatigue crack growth model in a martingale difference framework ⋮ Resistant fits for regression with correlated outcomes an estimating equations approach ⋮ Improved efficiency for recapture studies from auxiliary experimentation ⋮ Optimal estimation for continuous state branching processes with discrete sampling. ⋮ A comparison of recapture, removal and resighting designs for population size estimation ⋮ Estimating the Hurst parameter in fractional \(\text{ARIMA} (p,d,q)\) models via the quasi-likelihood method ⋮ A quasi-likelihood method for fractal-dimension estimation ⋮ Asymptotic Inefficiency of Mean-Correction on Parameter Estimation for a Periodic First-Order Autoregressive Model ⋮ An example of applying the asymptotic quasi-likelihood to dimension estimation for random spatial patterns ⋮ Foundations of multivariate inference using modern computers ⋮ Applied regression analysis bibliography update 1988-89 ⋮ The MM, ME, ML, EL, EF and GMM approaches to estimation: a synthesis.
