Estimation for a semimartingale regression model using the method of sieves
DOI10.1214/AOS/1176349939zbMATH Open0651.62084OpenAlexW2091902397MaRDI QIDQ1106596FDOQ1106596
Authors: 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
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censored datapoint processesdiffusion processesmethod of sievesL2-consistencysemimartingale regression model
Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Martingales with continuous parameter (60G44)
Cited In (17)
- A penalty method for nonparametric estimation of the intensity function of a counting process
- Smoothing signals for semimartingales
- Statistical modeling of diffusion processes with free knot splines
- Stochastic calculus as a tool in survival analysis: A review
- Identifying nonlinear covariate effects in semimartingale regression models
- Nonparametric inference for a doubly stochastic Poisson process
- An identification problem for systems with additive fractional Brownian field
- Estimation of the nuisance parameter for a semimartingale regression model
- A General Approach To Nonparametric Histogram Estimation
- Inference for stochastic neuronal models
- Inference for stochastic neuronal models
- Dynamic modelling and causality
- Convergence rates for the minimum complexity estimator of counting process intensities∗
- Stochastic methods for neural systems
- Asymptotic theory for the Cox model with missing time-dependent covariate
- Estimation of the drift function for Ito processes and a class of semimartingales via histogram sieve
- Stochastic calculus as a tool in survival analysis: A review
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