Consistency of the Asymptotic Quasi-Likelihood Estimate on Linear Models

DOI<link itemprop=identifier href="https://doi.org/10.1002/(SICI)1521-4036(199804)40:1<57::AID-BIMJ57>3.0.CO;2-U" /><57::AID-BIMJ57>3.0.CO;2-U 10.1002/(SICI)1521-4036(199804)40:1<57::AID-BIMJ57>3.0.CO;2-UzbMath0896.62028OpenAlexW2050028495MaRDI QIDQ4389809

Sifa Mvoi, Yan-Xia Lin, Riccardo Biondini

Publication date: 11 October 1998

Full work available at URL: https://doi.org/10.1002/(sici)1521-4036(199804)40:1<57::aid-bimj57>3.0.co;2-u

zbMATH Keywords

martingale differenceasymptotic quasi-likelihood estimatelinear predictable processscorefunction

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Related Items (3)

Convergence to Normality of the Asymptotic Quasi-Score Function on a Linear Model ⋮ Estimating the Hurst parameter in fractional \(\text{ARIMA} (p,d,q)\) models via the quasi-likelihood method ⋮ An example of applying the asymptotic quasi-likelihood to dimension estimation for random spatial patterns

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