QML estimators in linear regression models with functional coefficient autoregressive processes.
QMLE of periodic bilinear models and of PARMA models with periodic bilinear innovations
This paper develops an asymptotic inference theory for bilinear time series models with periodic coefficients . For this purpose, we establish firstly a necessary and sufficient conditions for such models to have a unique stationary and ergodic solutions (in periodic sense). Secondly, we examine the consistency and the asymptotic normality of the quasi-maximum likelihood estimator under very mild moment condition for the innovation errors. As a result, it is shown that whenever the model is...
Quadratic estimation from non-independent uncertain observations with coloured noise.
Recursive least-squares quadratic filtering and fixed-point smoothing algorithms for signal estimation from uncertain observations are derived when the uncertainty is modeled by not necessarily independent variables and the observations contain white plus coloured noise. The proposed estimators do not require the knowledge of the state-space of the model generating the signal, but only the moments, up to the fourth one, of the processes involved, along with the probability that the signal exists...
Quantification of prior knowledge about global characteristics of linear normal model
Quantitative convergence rates of Markov chains: A simple account.
Quasi-Likelihood Estimation for Ornstein-Uhlenbeck Diffusion Observed at Random Time Points
2000 Mathematics Subject Classification: 60J60, 62M99.In this paper, we study the quasi-likelihood estimator of the drift parameter θ in the Ornstein-Uhlenbeck diffusion process, when the process is observed at random time points, which are assumed to be unobservable. These time points are arrival times of a Poisson process with known rate. The asymptotic properties of the quasi-likelihood estimator (QLE) of θ, as well as those of its approximations are also elucidated. An extensive simulation study...
Quasi-Maximum Likelihood Estimation of Parameters in a Multivariate Poisson Process.
Quelques exercices d'utilisation des critères de A. A. Markov
Quelques problèmes linéaires de statistique concernant un processus stochastique de moyenne inconnue
Quick Consistency of Quasi-Maximum Likelihood Estimators in a Multivariate Poisson Process.