Inference and martingale estimating equations for stochastic processes on a semigroup
type: Item
instance of: scholarly article
title: Inference and martingale estimating equations for stochastic processes on a semigroup
zbMATH Open document ID: 0806.60036
DOI: 10.1016/0378-3758(94)90207-0
author: Paul D. Feigin
published in: Journal of Statistical Planning and Inference
publication date: 1995-02-12T00:00:00Z
review text: There are examples where analysis based on ordinary martingales does not appear to lead to optimum estimators. However, if we consider random variables with values in an Abelian semigroup, it is possible to define generalized expectations, generalized additive processes, generalized martingales, and conditional generalized exponential families in an abstract framework. This extension makes it possible to derive generalized martingale estimating equations that provide optimum estimators. Some examples are given to illustrate the theory.
reviewed by: Dominique Lépingle
Mathematics Subject Classification ID: 60G48
Mathematics Subject Classification ID: 60B15
Mathematics Subject Classification ID: 60J10
Mathematics Subject Classification ID: 62F15
Mathematics Subject Classification ID: 62M05
zbMATH DE Number: 605313
zbMATH Keywords: random variables with values in an Abelian semigroup
zbMATH Keywords: generalized expectations
zbMATH Keywords: generalized martingales
zbMATH Keywords: martingale estimating equations that provide optimum estimators
MaRDI profile type: Publication
full work available at URL: 0378-3758(94)90207-0
OpenAlex ID: W2081196244
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description: scientific article; zbMATH DE number 605313