A note on estimating equations for linear parameters in discrete-time stochastic processes

DOI10.1080/02331889108802320zbMath0736.62078OpenAlexW2033465756MaRDI QIDQ3985825

Heikki Ruskeepaa

Publication date: 27 June 1992

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331889108802320

zbMATH Keywords

linear modelweighted least squaresnon-recursivediscrete-time stochastic processesconditional least squaresrecursiveoptimal estimatormethod of estimating equations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

Related Items (2)

Estimating functions for branching processes ⋮ Deviation Inequalities for the Estimator of Linear Parameter in Stochastic Processes

Cites Work

• On combining quasi-likelihood estimating functions
• Optimal robust estimation for discrete time stochastic processes
• On conditional least squares estimation for stochastic processes
• Quasi-likelihood estimation for semimartingales
• The foundations of finite sample estimation in stochastic processes
• Optimal estimation for semimartingales
• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
• Quasi-Likelihood and Optimal Estimation, Correspondent Paper
• Robust Estimation of a Location Parameter

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