Optimal estimation for semimartingales

DOI10.2307/3214183MaRDI QIDQ3740856zbMATH OpenOpenAlexFDO

Authors A. Thavaneswaran, Mary E. Thompson

Publication date 1986

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3214183

zbMATH Keywords

Aalen's modelasymptotic normalitydiffusion processesestimating equationsGodambe's theory of parametric estimationleast squares estimatesLiptser's modellocal martingalemaximum likelihoodoptimal estimationsemimartingalestochastic integralsstrong consistency

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Non-Markovian processes: estimation (62M09)

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