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On asymptotic quasi-likelihood estimation

Author

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  • Heyde, C. C.
  • Gay, R.

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.

Suggested Citation

  • Heyde, C. C. & Gay, R., 1989. "On asymptotic quasi-likelihood estimation," Stochastic Processes and their Applications, Elsevier, vol. 31(2), pages 223-236, April.
    • Handle: RePEc:eee:spapps:v:31:y:1989:i:2:p:223-236
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    Cited by:

    1. Leonenko, N.N. & Sakhno, L.M., 2006. "On the Whittle estimators for some classes of continuous-parameter random processes and fields," Statistics & Probability Letters, Elsevier, vol. 76(8), pages 781-795, April.

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