Empirical Transform Estimation for Indexed Stochastic Models

DOI10.1111/1467-9868.00167zbMATH Open0913.62023OpenAlexW2046368014MaRDI QIDQ4238693FDOQ4238693

Authors: Qiwei Yao, Byron J. T. Morgan 

Publication date: 10 June 1999

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9868.00167

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zbMATH Keywords

Laplace transformleast squares estimatorgrowth modelmean-squared errorsempirical transformdiagonal optimizationindexed stochastic models

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12)

Cited In (7)

• SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE
• First passage time of a Lévy degradation model with random effects
• On inference from Markov chain macro-data using transforms
• Optimal design approach to GMM estimation of parameters based on empirical transforms
• Transform martingale estimating functions
• Efficient and robust estimation for the one-sided stable distribution of index \({1}/{2}\)
• Data-Transformation and Test of Fit for the Generalized Pareto Hypothesis

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