Optimal estimation for semimartingales

DOI10.2307/3214183zbMath0604.62082OpenAlexW4247076146MaRDI QIDQ3740856

Mary E. Thompson, A. Thavaneswaran

Publication date: 1986

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3214183

zbMATH Keywords

asymptotic normalitymaximum likelihooddiffusion processesstochastic integralsstrong consistencyestimating equationsoptimal estimationsemimartingalelocal martingaleleast squares estimatesAalen's modelGodambe's theory of parametric estimationLiptser's model

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

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