Quasi-likelihood estimation for semimartingales
From MaRDI portal
Publication:1821469
DOI10.1016/0304-4149(86)90004-9zbMath0616.62113OpenAlexW1965674471MaRDI QIDQ1821469
James E. Hutton, Paul I. Nelson
Publication date: 1986
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4149(86)90004-9
Related Items (38)
Information quantities in non-classical settings ⋮ A note on smoothed estimating functions ⋮ A quasi likelihood for integral data on birth and death on flows ⋮ A two-stage realized volatility approach to estimation of diffusion processes with discrete data ⋮ On the strong law of large numbers of multivariate martingales with random norming ⋮ On combining quasi-likelihood estimating functions ⋮ Conditional least squares estimation in nonstationary nonlinear stochastic regression models ⋮ Optimal estimating functions and wedderburn's quasi-likelihood ⋮ A note on estimating equations for linear parameters in discrete-time stochastic processes ⋮ Quantifying Model Uncertainties in Complex Systems ⋮ A criterion for filtering in semimartingale models ⋮ Optimal estimating functions, quasi-likelihood and statistical modelling ⋮ Adaptive estimators for parameters of the autoregression function of a Markov chain ⋮ On asymptotic optimality of estimating functions ⋮ Regularity, partial regularity, partial information process, for a filtered statistical model ⋮ Parameter estimation in infinite-dimensional stochastic differential equations ⋮ Quasi-likelihood models and optimal inference ⋮ Uniform Decay and Equicontinuity for Normalized, Parameter Dependent, ITO Integrals ⋮ Approximate bayes estimators for stochastic processes ⋮ Estimation of parameters in the MDDRCINAR(p) model ⋮ Online parameter estimation for the McKean-Vlasov stochastic differential equation ⋮ Recursive parameter estimation: asymptotic expansion ⋮ Finite sample optimality of maximum partial likelihood estimation in Cox's model for counting processes ⋮ Hypothesis testing for some time-series models: a power comparison ⋮ Recursive parameter estimation for semimartingales ⋮ Estimation of Parameters in the NLAR(p) Model ⋮ Transform martingale estimating functions ⋮ Inference for stochastic neuronal models ⋮ New developments in inference for temporal stochastic processes ⋮ Optimal estimation for semimartingale neuronal models ⋮ Convergence results for multivariate martingales ⋮ Inference for stochastic neuronal models ⋮ Maximum quasi‐likelihood estimation for the near(2) model ⋮ On quasi likelihood for semimartingales ⋮ Moment based approaches to Value the Risk of contingent claim portfolios ⋮ An extension of quasi-likelihood estimation ⋮ Estimation of parameters in the \(\mathrm{DDRCINAR}(p)\) model ⋮ Recursive identification in continuous-time stochastic processes
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Interchanging the order of differentiation and stochastic integration
- A note on strong consistency of least squares estimators in regression models with martingale difference errors
- Asymptotic inference in Levy processes of the discontinuous type
- Maximum likelihood estimation in the birth-and-death process
- Strong consistency of least squares estimates in normal linear regression
- The foundations of finite sample estimation in stochastic processes
- Optimal estimation for semimartingales
- Estimation of a Parameter of a Diffusion Process
- The recurrence and transience of two-dimensional linear birth and death processes
- Martingales: Recent Developments, Results and Applications
- Asymptotic Properties of Non-Linear Least Squares Estimators
- The Equivalence of Maximum Likelihood and Weighted Least Squares Estimate in the Exponential Family
- An Optimum Property of Regular Maximum Likelihood Estimation
This page was built for publication: Quasi-likelihood estimation for semimartingales