Optimal martingale estimating equations in a stochastic process

DOI10.1016/0167-7152(87)90087-3zbMath0633.62086OpenAlexW1993188409MaRDI QIDQ1096295

Christopher J. Lloyd

Publication date: 1987

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(87)90087-3

zbMATH Keywords

nuisance parametersconditional scorestructural parameteroptimal estimatoraccessory parameterfirst order autoregression processesgeneralization of the maximum likelihood equationmartingale estimating equation

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09)

Cites Work

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• Estimating equations in the presence of a nuisance parameter
• Robust estimation through estimating equations
• The foundations of finite sample estimation in stochastic processes
• Nuisance parameters, mixture models, and the efficiency of partial likelihood estimators
• Conditional score functions: Some optimality results
• Partial likelihood
• Conditional likelihood and unconditional optimum estimating equations
• An Optimum Property of Regular Maximum Likelihood Estimation

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