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

MaRDI QIDQ5283465zbMATH OpenFDO

Authors 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

zbMATH Keywords

asymptotic distributionsconsistencyleast absolute deviation estimatorleast squares estimatormaximum likelihood estimatorminimum contrast estimatornonstationary stochastic processquasi-likelihood estimatorstochastic regressionuniform strong law of large numbers for martingales

Mathematics Subject Classification ID

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

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Cited in

(1)

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

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