Optimal martingale estimating equations in a stochastic process
A discrete-time process X is given depending on an unknown parameter which is to be estimated and on some additional nuisance parameters. The optimal estimator is found as a solution to the martingale estimating equation being the generalization of the maximum likelihood equation. An optimality criterion is proposed generalizing that of \textit{V. P. Godambe} [Biometrika 72, 419-428 (1985; Zbl 0584.62135)]. An application to first order autoregression processes with error variances varying in time is given.
generalization of the maximum likelihood equation
scientific article; zbMATH DE number 4030769
scientific article