Asymptotic Quasi-Likelihood Based on Kernel Smoothing for Multivariate Heteroschedastic Models with Correlation

DOI10.1080/01966324.2010.10737782zbMath1228.62062OpenAlexW2026241203WikidataQ58270305 ScholiaQ58270305MaRDI QIDQ3104338

Yan-Xia Lin, Raed Alzghool, Song Xi Chen

Publication date: 19 December 2011

Published in: American Journal of Mathematical and Management Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01966324.2010.10737782

zbMATH Keywords

martingales

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items (1)

Shrinkage estimation strategy in quasi-likelihood models

Cites Work

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• Quasi-likelihood and its application. A general approach to optimal parameter estimation
• On spaces of estimating functions
• Modeling Financial Time Series with S-PLUS®
• A New Kind of Asymptotic Quasi‐Score Estimating Function
• \(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term.

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