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Consistency of the Asymptotic Quasi-Likelihood Estimate on Linear Models

โœ Scribed by Sifa Mvoi; Yan-Xia Lin; Riccardo Biondini


Publisher
John Wiley and Sons
Year
1998
Tongue
English
Weight
219 KB
Volume
40
Category
Article
ISSN
0323-3847

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The asymptotic quasi-likelihood method is considered for the model y t f t q M t ; t 0; 1; . . . ; T where f t q is a linear predictable process of the parameter of interest q, M t is a martingale difference, and the nature of EM 2 t j p tร€1 is unknown. This paper is concerned with the limiting dist