An optimal estimating equation based on the first three cumulants
基于前三阶累积量的最优估计方程
For improving on quasilikelihood estimation two types of quadratic estimating equations have been proposed, one based on the Edgeworth expansion, the other on the generalisation of the quasi-score. The first requires that the skewness of observations has a small departure from the exponential family; the second requires the knowledge of both skewness and kurtosis. We introduce an optimal quadratic estimating equation applicable when the skewness is not small and the kurtosis…