Estimation for a semimartingale regression model using the method of sieves

DOI10.1214/AOS/1176349939MaRDI QIDQ1106596zbMATH OpenOpenAlexFDO

Authors Ian W. Mckeague

Publication date 1986

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176349939

zbMATH Keywords

censored datadiffusion processesL2-consistencymethod of sievespoint processessemimartingale regression model

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09)

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Cited in

(17)

• Smoothing signals for semimartingales
• Estimation of the nuisance parameter for a semimartingale regression model
• Stochastic methods for neural systems
• Identifying nonlinear covariate effects in semimartingale regression models
• Statistical modeling of diffusion processes with free knot splines
• Nonparametric inference for a doubly stochastic Poisson process
• Asymptotic theory for the Cox model with missing time-dependent covariate
• A General Approach To Nonparametric Histogram Estimation
• Dynamic modelling and causality
• An identification problem for systems with additive fractional Brownian field
• Estimation of the drift function for Ito processes and a class of semimartingales via histogram sieve
• Convergence rates for the minimum complexity estimator of counting process intensities^∗
• Stochastic calculus as a tool in survival analysis: A review
• Stochastic calculus as a tool in survival analysis: A review
• Inference for stochastic neuronal models
• Inference for stochastic neuronal models
• A penalty method for nonparametric estimation of the intensity function of a counting process

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