Properties of likelihood ratio for counting processes in parametric case

MaRDI QIDQ2739830zbMATH OpenFDO

Authors Yu. N. Lin'kov, Oksana A. Nikolaeva

Publication date 16 September 2001

Published in Prykladna Statystyka. Aktuarna ta Finansova Matematyka (Search for Journal in Brave)

zbMATH Keywords

counting processesHellinger integrallocal asymptotic normalitylog-likelihoodsemimartingale decomposition

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Non-Markovian processes: hypothesis testing (62M07) Inference from stochastic processes (62M99)

Review text

Properties of likelihood ratios for parametric families of stochastic experiments generated by counting processes are investigated. Semimartingale decompositions of the log-likelihood are derived which hold under very mild conditions. Local asymptotic normality and uniform upper bounds for the Hellinger integral are obtained.

Recommendations

• Properties of the likelihood ratio for counting processes in the problem of estimation of unknown parameters
• scientific article; zbMATH DE number 1762664
• scientific article; zbMATH DE number 4030704
• On the Behavior of the Likelihood Ratio of Semimartingales
• scientific article; zbMATH DE number 4092561

Cited in

(2)

• Properties of the likelihood ratio for counting processes in the problem of estimation of unknown parameters
• scientific article; zbMATH DE number 1348627 (Why is no real title available?)

This page was built for publication: Properties of likelihood ratio for counting processes in parametric case

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2739830)