Estimation for a semimartingale regression model using the method of sieves

DOI10.1214/aos/1176349939zbMath0651.62084OpenAlexW2091902397MaRDI QIDQ1106596

Ian W. McKeague

Publication date: 1986

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176349939

zbMATH Keywords

point processesdiffusion processescensored datamethod of sievesL2-consistencysemimartingale regression model

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Martingales with continuous parameter (60G44)

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