On asymptotic quasi-likelihood estimation

C. C. Heyde and R. Gay

Stochastic Processes and their Applications, 1989, vol. 31, issue 2, 223-236

Abstract: Ordinary quasi-likelihood estimators are based on estimating functions with certain strong orthogonality properties. Asymptotic quasi-likelihood (AQL) estimators, introduced herein correspond to the case where the orthogonality results hold asymptotically but yet the estimators enjoy the same kind of properties as ordinary quasi-likelihood estimators, such as having asymptotic confidence zones of minimum size. The methodology is illustrated through a discussion of the estimation procedure based on smoothed periodograms and the demonstration that the Whittle procedure often has the AQL property.

Keywords: estimating; function; asymptotic; optimality; score; function; quasi-likelihood; periodogram; random; field; Gaussian; process; long; range; dependence (search for similar items in EconPapers)
Date: 1989
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