Thavaneswaran, Aerambamoorthy; Ravishanker, Nalini; … - In: Annals of the Institute of Statistical Mathematics 67 (2015) 1, pp. 129-156
estimating functions approach, which provides a convenient framework for deriving optimal inference for nonlinear time series … information about higher order conditional moments of the observed duration process become available, combined estimating … functions are optimal and are more informative than component estimating functions. The combined estimating functions approach …