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Optimal martingale estimating equations in a stochastic process. (English) Zbl 0633.62086
A discrete-time process X is given depending on an unknown parameter which is to be estimated and on some additional nuisance parameters. The optimal estimator is found as a solution to the martingale estimating equation being the generalization of the maximum likelihood equation. An optimality criterion is proposed generalizing that of {\it V. P. Godambe} [Biometrika 72, 419-428 (1985; Zbl 0584.62135)]. An application to first order autoregression processes with error variances varying in time is given.
Reviewer: B.Gołdys
62M09Non-Markovian processes: estimation
Full Text: DOI
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