Non-stationary quasi-likelihood and asymptotic optimality

DOI10.1016/J.JKSS.2014.02.004zbMATH Open1306.62197OpenAlexW2006848672MaRDI QIDQ397244FDOQ397244

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

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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)

Cites Work

• Quasi-likelihood and its application. A general approach to optimal parameter estimation
• Self-Normalized Processes
• On Large-Sample Estimation and Testing in Parametric Models
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• Asymptotic optimal inference for multivariate branching-Markov processes via martingale estimating functions and mixed normality
• Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
• Godambe estimating functions and asymptotic optimal inference
• Estimating functions for nonlinear time series models

Cited In (7)

• 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
• 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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