Optimal nonparametric estimation for some semimartingale stochastic differential equations

DOI10.1016/0096-3003(90)90054-7zbMath0731.62093OpenAlexW4256260948WikidataQ127391211 ScholiaQ127391211MaRDI QIDQ5896583

Mary E. Thompson, A. Thavaneswaran

Publication date: 1990

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0096-3003(90)90054-7

zbMATH Keywords

Banach spaceNelson-Aalen estimatorcumulative hazard functiondiffusion modelsextended gamma process modelgeneral optimality criterioninfinite dimensional parameteroptimality of a generalized score functionsemimartingale stochastic differential equation model

Mathematics Subject Classification ID

Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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• A Functional Central Limit Theorem for Semimartingales
• On the Efficiency of a Class of Non-Parametric Estimates
• An Optimum Property of Regular Maximum Likelihood Estimation

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