Thursday, September 26 2013, 3:30pm Hwang Sookmyung Women's University Various estimation methods in time series are reviewed in a unified framework via martingale estimating functions. In particular, maximum likelihood and quasi-likelihood are discussed in the context of asymptotic optimality within certain estimating functions. Both ergodic and non-ergodic processes are considered. To illustrate the main results, various parameter estimates for GARCH processes, bifurcating and explosive AR processes, conditionally linear autoregressive processes, and branching Markov processes are presented. More information on Sun-Young Hwang may be found at http://stat.sookmyung.ac.kr/~shwang/index.html
