A note on estimating equations for linear parameters in discrete-time stochastic processes
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Publication:3985825
DOI10.1080/02331889108802320zbMath0736.62078MaRDI QIDQ3985825
Publication date: 27 June 1992
Published in: Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331889108802320
linear model; weighted least squares; non-recursive; discrete-time stochastic processes; conditional least squares; recursive; optimal estimator; method of estimating equations
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62J05: Linear regression; mixed models
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Estimating functions for branching processes, Deviation Inequalities for the Estimator of Linear Parameter in Stochastic Processes
Cites Work
- On combining quasi-likelihood estimating functions
- Optimal robust estimation for discrete time stochastic processes
- On conditional least squares estimation for stochastic processes
- Quasi-likelihood estimation for semimartingales
- The foundations of finite sample estimation in stochastic processes
- Optimal estimation for semimartingales
- ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
- Quasi-Likelihood and Optimal Estimation, Correspondent Paper
- Robust Estimation of a Location Parameter