On quasi likelihood for semimartingales (Q751137): Difference between revisions

This paper provides a general approach to constructing a quasi-score function for estimation when the observed process is a special semimartingale. The quasi-score function actually gives the true score estimating function, when this exists, under minor regularity conditions. The construction rests fundamentally on the separate treatment of the continuous martingale part and the purely discontinuous martingale part in the decomposition of the process and a number of examples are given to illustrate the need for this separation. When considered within the general quasi-likelihood framework of \textit{V. P. Godambe} and the reviewer [Int. Stat. Rev. 55, 231-244 (1987; Zbl 0671.62007)] the proposed quasi-score is shown to be optimal within the class of essentially all martingale estimating functions both in the fixed sample and in the asymptotic sense.