Non-stationary quasi-likelihood and asymptotic optimality
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Hwang, S. Y. | - |
dc.contributor.author | Kim, Tae Yoon | - |
dc.date.available | 2021-02-22T11:47:35Z | - |
dc.date.issued | 2014-09 | - |
dc.identifier.issn | 1226-3192 | - |
dc.identifier.issn | 1876-4231 | - |
dc.identifier.uri | https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/10809 | - |
dc.description.abstract | This article is concerned with non-stationary time series which does not require the full knowledge of the likelihood function. Consequently, a quasi-likelihood is employed for estimating parameters instead of the maximum (exact) likelihood. For stationary cases, Wefelmeyer (1996) and Hwang and Basawa (2011a,b), among others, discussed the issue of asymptotic optimality of the quasi-likelihood within a restricted class of estimators. For non-stationary cases, however, the asymptotic optimality property of the quasi-likelihood has not yet been adequately addressed in the literature. This article presents the asymptotic optimal property of the non-stationary quasi-likelihood within certain estimating functions. We use a random norm instead of a constant norm to get limit distributions of estimates. To illustrate main results, the non-stationary ARCH model, branching Markov process, and non-stationary random-coefficient AR process are discussed. (C) 2014 The Korean Statistical Society. Published by Elsevier B.V. All rights reserved. | - |
dc.format.extent | 8 | - |
dc.language | 영어 | - |
dc.language.iso | ENG | - |
dc.publisher | KOREAN STATISTICAL SOC | - |
dc.title | Non-stationary quasi-likelihood and asymptotic optimality | - |
dc.type | Article | - |
dc.publisher.location | 대한민국 | - |
dc.identifier.doi | 10.1016/j.jkss.2014.02.004 | - |
dc.identifier.scopusid | 2-s2.0-84904740541 | - |
dc.identifier.wosid | 000348754700013 | - |
dc.identifier.bibliographicCitation | Journal of the Korean Statistical Society, v.43, no.3, pp 475 - 482 | - |
dc.citation.title | Journal of the Korean Statistical Society | - |
dc.citation.volume | 43 | - |
dc.citation.number | 3 | - |
dc.citation.startPage | 475 | - |
dc.citation.endPage | 482 | - |
dc.type.docType | Article | - |
dc.identifier.kciid | ART001921686 | - |
dc.description.isOpenAccess | N | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.description.journalRegisteredClass | kci | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalWebOfScienceCategory | Statistics & Probability | - |
dc.subject.keywordPlus | SAMPLE ESTIMATION | - |
dc.subject.keywordPlus | OPTIMAL INFERENCE | - |
dc.subject.keywordPlus | TIME-SERIES | - |
dc.subject.keywordPlus | MODELS | - |
dc.subject.keywordAuthor | Asymptotic optimality | - |
dc.subject.keywordAuthor | Non-stationary quasi-likelihood | - |
dc.subject.keywordAuthor | Non-stationary ARCH | - |
dc.subject.keywordAuthor | Branching Markov processes | - |
dc.subject.keywordAuthor | Non-stationary random-coefficient AR | - |
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