Estimation of the nuisance parameter for a semimartingale regression model

DOI10.1007/BF02080198MaRDI QIDQ1179404zbMATH OpenOpenAlexFDO

Authors Yimin Pan, Shaobo Luo

Publication date 26 June 1992

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02080198

zbMATH Keywords

consistencynuisance parametermethod of sievessemimartingale regression modelsquare integrable martingale

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Estimation for a semimartingale regression model using the method of sieves
• Estimating a real parameter in a class of semiparametric models
• Quasi-least-squares estimation in semimartingale regression models
• Sequential estimation for a family of counting processes in the nuisance parameter case
• scientific article; zbMATH DE number 3978190

Cites work

• scientific article; zbMATH DE number 3696328 (Why is no real title available?)
• Estimation for a semimartingale regression model using the method of sieves
• Identification of Nonstationary Diffusion Model by the Method of Sieves
• Nonparametric maximum likelihood estimation by the method of sieves
• Stochastic convergence of weighted sums of random elements in linear spaces

Cited in

(1)

• Estimation for a semimartingale regression model using the method of sieves

This page was built for publication: Estimation of the nuisance parameter for a semimartingale regression model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1179404)