Optimal martingale estimating equations in a stochastic process (Q1096295)
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scientific article; zbMATH DE number 4030769
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal martingale estimating equations in a stochastic process |
scientific article; zbMATH DE number 4030769 |
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Optimal martingale estimating equations in a stochastic process (English)
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1987
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A discrete-time process X is given depending on an unknown parameter which is to be estimated and on some additional nuisance parameters. The optimal estimator is found as a solution to the martingale estimating equation being the generalization of the maximum likelihood equation. An optimality criterion is proposed generalizing that of \textit{V. P. Godambe} [Biometrika 72, 419-428 (1985; Zbl 0584.62135)]. An application to first order autoregression processes with error variances varying in time is given.
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conditional score
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accessory parameter
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structural parameter
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nuisance parameters
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optimal estimator
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martingale estimating equation
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generalization of the maximum likelihood equation
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first order autoregression processes
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