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On the asymptotic equivalence ofLpmetrics for convergence to normality

โœ Scribed by C. C. Heyde; T. Nakata


Publisher
Springer
Year
1984
Tongue
English
Weight
372 KB
Volume
68
Category
Article
ISSN
1432-2064

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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