Some characterizations of non-ergodic estimating functions for stochastic processes

DOI10.1016/j.jkss.2015.06.003zbMath1327.62466OpenAlexW1043977585MaRDI QIDQ892894

N. E. Zubov

Publication date: 12 November 2015

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2015.06.003

zbMATH Keywords

scoreestimating function (EF)non-ergodic EFrandom norm

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Cites Work

• Unnamed Item
• Unnamed Item
• Non-stationary quasi-likelihood and asymptotic optimality
• Godambe estimating functions and asymptotic optimal inference
• Branching Markov processes and related asymptotics
• Asymptotic optimal inference for non-ergodic models
• Asymptotic tests of composite hypotheses for non-ergodic type stochastic processes
• Quasi-likelihood models and optimal inference
• Generalized least squares estimation for explosive AR(1) processes with conditionally heteroscedastic errors
• The foundations of finite sample estimation in stochastic processes
• Martingale Estimating Functions for Stochastic Processes: A Review Toward a Unifying Tool
• Non-ergodic martingale estimating functions and related asymptotics
• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
• Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
• Contiguity of Probability Measures

This page was built for publication: Some characterizations of non-ergodic estimating functions for stochastic processes