상세 보기
초록
Large sample theory and various estimation methods for stochastic processes are reviewed in a unified framework via martingale estimating functions. Results on asymptotic op¬timality of the estimates are discussed for both ergodic and non-ergodic processes. To illustrate the main results, various parameter estimates for GARCH-type processes, bifur¬cating and explosive autoregressive processes, conditionally linear autoregressive processes, and branching Markov processes are presented.
- 제목
- Martingale estimating functions for stochastic processes: A review toward a unifying tool
- 저자
- Hwang S.Y.; Basawa I.V.
- 발행일
- 2014-01
- 유형
- Article
- 저널명
- Springer Proceedings in Mathematics and Statistics
- 권
- 68
- 페이지
- 9 ~ 28