Local asymptotic quadraticity of stochastic process models based on stopping times
type: Item
instance of: scholarly article
title: Local asymptotic quadraticity of stochastic process models based on stopping times
zbMATH Open document ID: 0833.60051
DOI: 10.1016/0304-4149(94)00054-W
author: Harald Luschgy
published in: Stochastic Processes and their Applications
publication date: 1996-03-05T00:00:00Z
review text: A family of probability measures \((P_i : i \in I)\), \(I \subset \mathbb{R}^k\), on a filtered measurable space is considered. The filtration is assumed to be generated by a stochastic process which is a càdlàg \(\mathbb{R}^d\)-valued semimartingale with respect to each \(P_i\), its drift and jump characteristic depending on \(i\). The process is observed up to some stopping times \(\tau \to \infty\). Conditions are given which ensure the existence of good approximations of the log-likelihood process as \(\tau \to \infty\) (locally asymptotically quadratic with respect to variations of \(i\) and locally asymptotically normal or mixed normal).
Mathematics Subject Classification ID: 60G48
Mathematics Subject Classification ID: 62F10
Mathematics Subject Classification ID: 62F12
zbMATH DE Number: 772935
zbMATH Keywords: semimartingale models
zbMATH Keywords: random observation periods
zbMATH Keywords: locally quadratic likelihood
reviewed by: M.P.Jerschow
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 772935