Identifying nonlinear covariate effects in semimartingale regression models

DOI10.1007/BF01217745zbMath0685.62063MaRDI QIDQ1262059

Ian W. McKeague, Klaus J. Utikal

Publication date: 1990

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

zbMATH Keywords

functional central limit theorem; diffusion processes; proportional hazards model; counting process; stochastic integral; semimartingale; goodness-of-fit test; censored survival data; Gaussian random field; test for independence; multiparameter Wiener process; nonlinear semimartingale regression; test for time-homogeneity

Mathematics Subject Classification ID

62E20: Asymptotic distribution theory in statistics

62G05: Nonparametric estimation

62M09: Non-Markovian processes: estimation

62J02: General nonlinear regression

62M05: Markov processes: estimation; hidden Markov models

62M99: Inference from stochastic processes

60F17: Functional limit theorems; invariance principles

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