Deviation Inequalities for the Estimator of Linear Parameter in Stochastic Processes

DOI10.1080/03610920802322458zbMath1169.62077OpenAlexW2086222946MaRDI QIDQ3631418

Yu Miao, Si Shen, Yiwen Jiang

Publication date: 9 June 2009

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: http://www.informaworld.com/smpp/./content~db=all~content=a909857129

zbMATH Keywords

linear modelsestimating equationsoptimal estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44)

Related Items (1)

The precise asymptotic behavior of parameter estimators in Ornstein-Uhlenbeck process

Cites Work

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• Asymptotic efficiency of statistical estimators: concepts and higher order asymptotic efficiency
• On large-deviation efficiency in statistical inference
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• Moderate deviations of empirical periodogram and non-linear functionals of moving average processes
• The foundations of finite sample estimation in stochastic processes
• Optimal estimation for semimartingales
• A note on estimating equations for linear parameters in discrete-time stochastic processes
• Concentration inequalities for semi-bounded martingales

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