Estimation for a semimartingale regression model using the method of sieves
Estimation by the method of sieves for a semimartingale regression model introduced by \textit{O. O. Aalen} [Mathematical statistics and probability theory, Proc. 6th int. Conf., Wista/Pol. 1978, Lect. Notes Stat. 2, 1-25 (1980; Zbl 0445.62095)] is studied. It is of interest to estimate functions which describe the influence of the covariates over time. An estimator for these functions is introduced and conditions which ensure consistency of the estimator in \(L^ 2\)-norm are given. Applications to diffusion processes and point processes with censored data are also discussed.
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