On combining quasi-likelihood estimating functions

The comparison of competing estimating functions for a vector parameter of a stochastic process is discussed and the formation of combined quasi-likelihood estimating functions where this is advantageous. An example is given to illustrate the methodology.

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Year of publication:	1987
Authors:	Heyde, C. C.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 25.1987, p. 281-287
Publisher:	Elsevier
Keywords:	quasi-likelihood estimating functions Martingales optimality in estimation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875001