Joint Estimation Using Quadratic Estimating Function

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dc.contributor.authorLiang, Y.
dc.contributor.authorThavaneswaran, A.
dc.contributor.authorAbraham, B.
dc.date.accessioned2015-05-14T16:56:51Z
dc.date.available2015-05-14T16:56:51Z
dc.date.issued2011-7-12
dc.date.updated2015-03-29T13:38:14Z
dc.description.abstractA 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.
dc.description.versionPeer Reviewed
dc.identifier.citationY. Liang, A. Thavaneswaran, and B. Abraham, “Joint Estimation Using Quadratic Estimating Function,” Journal of Probability and Statistics, vol. 2011, Article ID 372512, 14 pages, 2011. doi:10.1155/2011/372512
dc.identifier.urihttp://dx.doi.org/10.1155/2011/372512
dc.identifier.urihttp://hdl.handle.net/1993/30522
dc.language.rfc3066en
dc.rightsopen accessen_US
dc.rights.holderCopyright © 2011 Y. Liang et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
dc.titleJoint Estimation Using Quadratic Estimating Function
dc.typeJournal Article
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