On statistical estimation and inferences in optional regression models

DOI10.1080/02331888.2021.1900186MaRDI QIDQ5004993zbMATH OpenOpenAlexFDO

Authors Mohamed N. Abdelghani, Andrey Pak, Alexander Melnikov

Publication date 4 August 2021

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2103.08148

zbMATH Keywords

LS-estimatesoptional martingalesoptional regression modelsequential LS-estimates

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Asymptotic properties of parametric estimators (62F12) Sequential estimation (62L12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Abstract: The main object of investigation in this paper is a very general regression model in optional setting - when an observed process is an optional semimartingale depending on an unknown parameter. It is well-known that statistical data may present an information flow/filtration without usual conditions. The estimation problem is achieved by means of structural least squares (LS) estimates and their sequential versions. The main results of the paper are devoted to the strong consistency of such LS-estimates. For sequential LS-estimates the property of fixed accuracy is proved.

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Cites work

• A strong law of large numbers for local martingales
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• scientific article; zbMATH DE number 44889 (Why is no real title available?)
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Cited in

(3)

• Optimal Inference in a Class of Regression Models
• Parameter estimation in optional semimartingale regression models
• Criteria for what makes a local optional martingale a true martingale

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