Partial quasi likelihood analysis

2017/12/31 by Nakahiro Yoshida, Yoshida, Nakahiro
Decision Sciences · Mathematics · #FOS: Mathematics #Probability and Risk Models #Statistical Methods and Bayesian Inference #Statistical Methods and Inference #Statistics Theory (math.ST)

paper · pdf · doi:10.48550/arxiv.1801.00279

openalex publication_date 2017/12/31 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

The quasi likelihood analysis is generalized to the partial quasi likelihood analysis. Limit theorems for the quasi likelihood estimators, especially the quasi Bayesian estimator, are derived in the situation where existence of a slow mixing component prohibits the Rosenthal type inequality from applying to the derivation of the polynomial type large deviation inequality for the statistical random field. We give two illustrative examples.

Citations

• Threshold estimation for stochastic processes with small noise
• Statistical Inference for Ergodic Point Processes and Application to Limit Order Book

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