Some characterizations of non-ergodic estimating functions for stochastic processes

DOI10.1016/J.JKSS.2015.06.003MaRDI QIDQ892894zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 51940 (Why is no real title available?)
• scientific article; zbMATH DE number 1215432 (Why is no real title available?)
• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
• Asymptotic optimal inference for non-ergodic models
• Asymptotic tests of composite hypotheses for non-ergodic type stochastic processes
• Branching Markov processes and related asymptotics
• Contiguity of Probability Measures
• Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
• Generalized least squares estimation for explosive AR(1) processes with conditionally heteroscedastic errors
• Godambe estimating functions and asymptotic optimal inference
• Martingale Estimating Functions for Stochastic Processes: A Review Toward a Unifying Tool
• Non-ergodic martingale estimating functions and related asymptotics
• Non-stationary quasi-likelihood and asymptotic optimality
• Quasi-likelihood models and optimal inference
• The foundations of finite sample estimation in stochastic processes

Cited in

(4)

• scientific article; zbMATH DE number 125639 (Why is no real title available?)
• On asymptotics of estimating functions
• Some sampling properties of empirical characteristic functions viewed as harmonizable stochastic processes
• Non-ergodic martingale estimating functions and related asymptotics

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