Prediction‐based estimating functions
A generalization of martingale estimating functions is presented which is useful when there are no natural or easily calculated martingales that can be used to construct a class of martingale estimating functions. An estimating function of the new type, which is based on linear predictors, is called a prediction‐based estimating functions. Special attention is given to classes of prediction‐based estimating functions given by a finite‐dimensional space of predictors. It is…