Optimal martingale estimating equations in a stochastic process
type: Item
instance of: scholarly article
title: Optimal martingale estimating equations in a stochastic process
zbMATH Open document ID: 0633.62086
DOI: 10.1016/0167-7152(87)90087-3
author: Christopher J. Lloyd
published in: Statistics \& Probability Letters
publication date: 1987-01-01T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 62M09
zbMATH DE Number: 4030769
zbMATH Keywords: conditional score
zbMATH Keywords: accessory parameter
zbMATH Keywords: structural parameter
zbMATH Keywords: nuisance parameters
zbMATH Keywords: optimal estimator
zbMATH Keywords: martingale estimating equation
zbMATH Keywords: generalization of the maximum likelihood equation
zbMATH Keywords: first order autoregression processes
reviewed by: B. Goldys
MaRDI profile type: Publication
full work available at URL: 0167-7152(87)90087-3
OpenAlex ID: W1993188409
cites work: Q5684096
cites work: Partial likelihood
cites work: An Optimum Property of Regular Maximum Likelihood Estimation
cites work: Conditional likelihood and unconditional optimum estimating equations
cites work: Q3681709
cites work: The foundations of finite sample estimation in stochastic processes
cites work: Estimating equations in the presence of a nuisance parameter
cites work: Robust estimation through estimating equations
cites work: Nuisance parameters, mixture models, and the efficiency of partial likelihood estimators
cites work: Conditional score functions: Some optimality results
cites work: Q3949793
description: scientific article; zbMATH DE number 4030769