Some characterizations of non-ergodic estimating functions for stochastic processes

DOI10.1016/J.JKSS.2015.06.003zbMATH Open1327.62466OpenAlexW1043977585MaRDI QIDQ892894FDOQ892894

Authors: N. E. Zubov 

Publication date: 12 November 2015

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2015.06.003

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zbMATH Keywords

scoreestimating function (EF)non-ergodic EFrandom norm

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Cites Work

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• Asymptotic optimal inference for non-ergodic models
• Quasi-likelihood models and optimal inference
• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
• Branching Markov processes and related asymptotics
• The foundations of finite sample estimation in stochastic processes
• Non-stationary quasi-likelihood and asymptotic optimality
• Martingale Estimating Functions for Stochastic Processes: A Review Toward a Unifying Tool
• Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
• Godambe estimating functions and asymptotic optimal inference
• Contiguity of Probability Measures
• Non-ergodic martingale estimating functions and related asymptotics
• Generalized least squares estimation for explosive AR(1) processes with conditionally heteroscedastic errors
• Asymptotic tests of composite hypotheses for non-ergodic type stochastic processes

Cited In (4)

• On asymptotics of estimating functions
• Some sampling properties of empirical characteristic functions viewed as harmonizable stochastic processes
• Title not available (Why is that?)
• Non-ergodic martingale estimating functions and related asymptotics

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