Asymptotic inference for semimartingale models with singular parameter points

DOI10.1016/0378-3758(94)90204-6zbMath0807.62062OpenAlexW2042865985MaRDI QIDQ1330191

Harald Luschgy

Publication date: 12 July 1994

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-3758(94)90204-6

zbMATH Keywords

singularitiespoint processeslimiting distributionsasymptotic inferencelocal quadratic approximationdiffusions with jumpscontinuous diffusion processesdifferentiable experimentsmixed normalpredictable bracketquasi-left continuous semimartingalesscore martingalesemimartingale models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05) Generalizations of martingales (60G48)

Related Items (6)

Local asymptotic quadraticity of stochastic process models based on stopping times ⋮ Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model ⋮ Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations ⋮ Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations ⋮ Asymptotic behavior of maximum likelihood estimator for time inhomogeneous diffusion processes ⋮ Hypotheses testing: Poisson versus stress-release

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