Convergence to Normality of the Asymptot
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Sifa Mvoi; Yan-Xia Lin
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Article
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2000
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John Wiley and Sons
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English
โ 180 KB
๐ 1 views
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 tร1 is unknown. This paper is concerned with the limiting dist