Non-stationary quasi-likelihood and asymptotic optimality

DOI10.1016/J.JKSS.2014.02.004MaRDI QIDQ397244zbMATH OpenOpenAlexFDO

Authors Tae Yoon Kim, S. Y. Hwang

Publication date 11 August 2014

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jkss.2014.02.004

zbMATH Keywords

asymptotic optimalitybranching Markov processesnon-stationary ARCHnon-stationary quasi-likelihoodnon-stationary random-coefficient AR

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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• Asymptotic optimal inference for non-ergodic models
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• Theory & Methods: Non‐Gaussian Conditional Linear AR(1) Models

Cited in

(8)

• A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
• Nonparametric quasi-maximum likelihood estimation for Gaussian locally stationary processes
• Properties of conditional fitting the semi-parametric model using the quasi-likelihood function
• Quasi-likelihood analysis and its applications
• On asymptotic quasi-likelihood estimation
• A generalized quasi-likelihood estimator for nonstationary stochastic processes -- asymptotic properties and examples.
• Some characterizations of non-ergodic estimating functions for stochastic processes
• SOME PROPERTIES OF CONDITIONAL QUASI-LIKELIHOOD FUNCTIONS FOR TIME SERIES MODEL FITTING

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