A profile Godambe information of power transformations for ARCH time series
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DOI: 10.1080/03610926.2016.1139133
Abstract: ABSTRACT Due to Godambe (1985), one can obtain the Godambe optimum estimating functions (EFs) each of which is optimum (in the sense of maximizing the Godambe information) within a linear class of EFs. Quasi-likelihood scores… read more here.
Keywords: godambe; time series; godambe information; power transformations ... See more keywords