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Joint Estimation Using Quadratic Estimating Function
Joint Authors
Thavaneswaran, A.
Abraham, B.
Liang, Y.
Source
Journal of Probability and Statistics
Issue
Vol. 2011, Issue 2011 (31 Dec. 2011), pp.1-14, 14 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2011-07-12
Country of Publication
Egypt
No. of Pages
14
Main Subjects
Abstract EN
A class of martingale estimating functions is convenient and plays an important role for inference for nonlinear time series models.
However, when the information about the first four conditional moments of the observed process becomes available, the quadratic estimating functions are more informative.
In this paper, a general framework for joint estimation of conditional mean and variance parameters in time series models using quadratic estimating functions is developed.
Superiority of the approach is demonstrated by comparing the information associated with the optimal quadratic estimating function with the information associated with other estimating functions.
The method is used to study the optimal quadratic estimating functions of the parameters of autoregressive conditional duration (ACD) models, random coefficient autoregressive (RCA) models, doubly stochastic models and regression models with ARCH errors.
Closed-form expressions for the information gain are also discussed in some detail.
American Psychological Association (APA)
Liang, Y.& Thavaneswaran, A.& Abraham, B.. 2011. Joint Estimation Using Quadratic Estimating Function. Journal of Probability and Statistics،Vol. 2011, no. 2011, pp.1-14.
https://search.emarefa.net/detail/BIM-466856
Modern Language Association (MLA)
Liang, Y.…[et al.]. Joint Estimation Using Quadratic Estimating Function. Journal of Probability and Statistics No. 2011 (2011), pp.1-14.
https://search.emarefa.net/detail/BIM-466856
American Medical Association (AMA)
Liang, Y.& Thavaneswaran, A.& Abraham, B.. Joint Estimation Using Quadratic Estimating Function. Journal of Probability and Statistics. 2011. Vol. 2011, no. 2011, pp.1-14.
https://search.emarefa.net/detail/BIM-466856
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-466856