Optimal estimation under nonstandard conditions

DOI10.1016/J.JECONOM.2012.01.025zbMATH Open1443.62285OpenAlexW3124743692MaRDI QIDQ528003FDOQ528003

Werner Ploberger, Peter C. B. Phillips

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1824

zbMATH Keywords

asymptotic normalityweak convergencelocal asymptotic normalityBayesian asymptoticslocally asymptotic quadraticoptimality property of MLE

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

Cites Work

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Cited In (18)

• Optimal estimation of parameters
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• Nonlinear estimation based on conversion-sample optimization
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• Residual-based rank specification tests for AR-GARCH type models
• Optimizing estimation of a statistically undefined system
• Title not available (Why is that?)
• Optimally and computations for relative surprise inferences
• On optimal estimates of random variables
• A necessary and sufficient condition for an estimator to be optimal
• Statistical estimation and optimal recovery
• Optimal estimation from limited noisy data
• Optimal Estimation
• Large Sample Properties of Posterior Densities, Bayesian Information Criterion and the Likelihood Principle in Nonstationary Time Series Models
• Nonparametric estimation of optimal performance criteria in quality engineering
• Optimum statistical estimates in conditions of ambiguity
• Title not available (Why is that?)
• Statistical estimation from an optimization viewpoint

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