Consistent statistical estimation in semimartingale models of stochastic approximation

DOI10.5186/AASFM.1992.1711MaRDI QIDQ4278219zbMATH OpenOpenAlexFDO

Authors Alexander Melnikov, Alexandra Rodkina

Publication date 26 April 1994

Published in Annales Academiae Scientiarum Fennicae Series A I Mathematica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.5186/aasfm.1992.1711

zbMATH Keywords

diffusion modelslocal martingalepredictable processsemimartingalesstrong solutions of stochastic equations

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic approximation (62L20) Markov processes: estimation; hidden Markov models (62M05)

Recommendations

• Procedures of stochastic approximation in statistics of semimartingale type of processes
• Some models of continuous-time stochastic approximation
• scientific article; zbMATH DE number 683389
• Semimartingale stochastic approximation procedure and recursive estimation
• Stochastic equations in the problems of semimartingale parameter estimation

Cited in

(12)

• One-sided convergence of continuous processes of stochastic approximation
• About Gaussian schemes in stochastic approximation
• Stochastic approximation for semimartingale error
• Some models of continuous-time stochastic approximation
• Consistency of statistical models described by families of reversed submartingales
• scientific article; zbMATH DE number 4172200 (Why is no real title available?)
• An implicit function theorem for semimartingales and an application
• Sequential Inferences with Prescribed Accuracy for Semimartingales
• scientific article; zbMATH DE number 4169901 (Why is no real title available?)
• Inference for Continuous Semimartingales Observed at High Frequency
• Procedures of stochastic approximation in statistics of semimartingale type of processes
• Stochastic differential equations: singularity of coefficients, regression models, and stochastic approximation

This page was built for publication: Consistent statistical estimation in semimartingale models of stochastic approximation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4278219)