Time-Sequential Point Estimation Through Estimating Equations

Estimation for Nonlinear Time Series Models Using Estimating Equations

Godambe's (1985) theorem on optimal estimating eq'uation for stochasti; processes is applied to nonlinear time series estimation problems. Examples are considered from the usual classes of nonlinear time series models. Recursive estimation procedure based on optimal estimating equation is provided. It is also shown that prefiltered estimates can be used to obtain the optimal estimate from a non...

On Nonparametric Sequential Point Estimation

Time-invariance Estimating Equations

We describe a general method for deriving estimators of the parameter of a statistical model, with particular relevance to highly structured stochastic systems such as conditional independence models and random spatial processes. The method is based on representing the stochastic model as the equilibrium distribution of a continuous-time Markov process Y = (Y t ; t > 0) wherètime' is to be unde...

Sequential iteration of the Erlang fixed-point equations

On sequential parameter estimation for some linear stochastic differential equations with time delay

We consider the parameter estimation problem for the scalar di usion type process described by the stochastic equation with time delay