A generalized quasi-likelihood estimator for nonstationary stochastic processes -- asymptotic properties and examples.

zbMATH Open1374.62021MaRDI QIDQ5283465FDOQ5283465

Christine Jacob

Publication date: 21 July 2017

Full work available at URL: http://www.math.bas.bg/pliska/Pliska-22/Pliska-22-2013-071-088.pdf

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zbMATH Keywords

consistencyasymptotic distributionsmaximum likelihood estimatorstochastic regressionleast squares estimatorminimum contrast estimatorquasi-likelihood estimatorleast absolute deviation estimatornonstationary stochastic processuniform strong law of large numbers for martingales

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Martingales with discrete parameter (60G42) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Cited In (1)

• Nonparametric quasi-maximum likelihood estimation for Gaussian locally stationary processes

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