Partial likelihood process and asymptotic normality

DOI10.1016/0304-4149(87)90050-0MaRDI QIDQ1095545zbMATH OpenOpenAlexFDO

Authors Jean Jacod

Publication date 1987

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(87)90050-0

zbMATH Keywords

asymptotic normalitybinary statistical experimentslikelihood processnuisance parameterpartial Hellinger processpartial likelihoodpartial likelihood processsemimartingale

Mathematics Subject Classification ID

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

Review text

The notion of partial likelihood, introduced by D. R. Cox and used by R. Gill, K. Dhzaparidze and others for particular cases, is generalized for binary statistical experiments when observations consist of a stochastic process which is a semimartingale with predescribed characteristics. The idea is to write a formal expression for a likelihood process in spite of the fact that this expression contains as a nuisance parameter a nonobservable process. Nethertheless, it is possible to prove that this partial likelihood process can be used to obtain ``nice estimates of the parameter. In the paper a notion of the partial Hellinger process is presented and a result on asymptotic normality of partial likelihood processes is proved.

Recommendations

• Sur le processus de vraisemblance partielle. (On the partial likelihood process)
• Theory of partial likelihood
• scientific article; zbMATH DE number 64537
• scientific article; zbMATH DE number 4119451
• scientific article; zbMATH DE number 219318

Cites work

• Asymptotic methods in statistical decision theory
• Calcul stochastique et problèmes de martingales
• Discussion of ``Impact of frequentist and Bayesian methods on survey sampling practice: a selective appraisal by J. N. K. Rao
• Espaces de semi martingales et changement de probabilit�
• scientific article; zbMATH DE number 3866292 (Why is no real title available?)
• scientific article; zbMATH DE number 3901738 (Why is no real title available?)
• scientific article; zbMATH DE number 4034749 (Why is no real title available?)
• scientific article; zbMATH DE number 4056833 (Why is no real title available?)
• scientific article; zbMATH DE number 4078500 (Why is no real title available?)
• scientific article; zbMATH DE number 3631722 (Why is no real title available?)
• Partial likelihood
• Theory of partial likelihood

Cited in

(20)

• Theory of partial likelihood
• Regularity, partial regularity, partial information process, for a filtered statistical model
• Cox's factoring of regression model likelihoods for continuous-time processes
• Dual likelihood
• Efficiency of estimators for partially specified filtered models
• scientific article; zbMATH DE number 4153583 (Why is no real title available?)
• scientific article; zbMATH DE number 4111853 (Why is no real title available?)
• scientific article; zbMATH DE number 19573 (Why is no real title available?)
• Efficient estimation in a nonlinear counting-process regression model
• scientific article; zbMATH DE number 64537 (Why is no real title available?)
• scientific article; zbMATH DE number 64539 (Why is no real title available?)
• scientific article; zbMATH DE number 1215430 (Why is no real title available?)
• Approximations and limit theorems for likelihood ratio processes in the binary case
• Asymptotic inference for nearly unstable INAR(1) models
• scientific article; zbMATH DE number 219318 (Why is no real title available?)
• Partial Likelihood Inference For Time Series Following Generalized Linear Models
• On quasi likelihood for semimartingales
• Beta autoregressive fractionally integrated moving average models
• Sur le processus de vraisemblance partielle. (On the partial likelihood process)
• Partial likelihood for online order selection

This page was built for publication: Partial likelihood process and asymptotic normality

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1095545)