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Grid-Based Simulation and the Method of Conditional Least Squares
Grid-Based Simulation Method Conditional Least Squares
2015/7/8
This paper is concerned with the use of simulation to compute the conditional expectations that arise in the method of conditional least squares. Our approach involves performing simulations at each p...
Conditional least squares estimation in nonstationary nonlinear stochastic regression models
Stochastic nonlinear regression heteroscedasticity nonstation-ary process time series branching process conditional least squares estimator quasi-likelihood estimator
2010/3/9
National Agronomical Research Institute (INRA)
Let {Zn} be a real nonstationary stochastic process such that
E(Zn|Fn−1)a.s.< 1 and E(Z2n |Fn−1)a.s.< 1, where {Fn} is an increas-
ing seq...