Martingale Estimating Functions: Asymptotic Optimality
Sun-Young
Hwang

Sookmyung Women's University

Thursday, September 26, 2013 - 3:30pm

Various estimation methods in time series are reviewed in a unified framework via martingale estimating functions. In particular, maximum likelihood and quasi-likelihood are discussed in the context of asymptotic optimality within certain estimating functions. Both ergodic and non-ergodic processes are considered. To illustrate the main results, various parameter estimates for GARCH processes, bifurcating and explosive AR processes, conditionally linear autoregressive processes, and branching Markov processes are presented.
 
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