Estimation for a semimartingale regression model using the method of sieves
type: Item
instance of: scholarly article
title: Estimation for a semimartingale regression model using the method of sieves
zbMATH Open document ID: 0651.62084
author: Ian W. Mckeague
published in: The Annals of Statistics
publication date: 1986-01-01T00:00:00Z
review text: Estimation by the method of sieves for a semimartingale regression model introduced by \textit{O. O. Aalen} [Mathematical statistics and probability theory, Proc. 6th int. Conf., Wista/Pol. 1978, Lect. Notes Stat. 2, 1-25 (1980; Zbl 0445.62095)] is studied. It is of interest to estimate functions which describe the influence of the covariates over time. An estimator for these functions is introduced and conditions which ensure consistency of the estimator in \(L^ 2\)-norm are given. Applications to diffusion processes and point processes with censored data are also discussed.
Mathematics Subject Classification ID: 62M09
Mathematics Subject Classification ID: 62G05
Mathematics Subject Classification ID: 60G44
zbMATH DE Number: 4062417
zbMATH Keywords: L2-consistency
zbMATH Keywords: method of sieves
zbMATH Keywords: semimartingale regression model
zbMATH Keywords: diffusion processes
zbMATH Keywords: point processes
zbMATH Keywords: censored data
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aos/1176349939
OpenAlex ID: W2091902397
DOI: 10.1214/AOS/1176349939
description: scientific article; zbMATH DE number 4062417