A criterion for filtering in semimartingale models
DOI10.1016/0304-4149(88)90099-3zbMATH Open0651.62090OpenAlexW2002437839MaRDI QIDQ1106597FDOQ1106597
Authors: A. Thavaneswaran, Mary E. Thompson 
Publication date: 1988
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4149(88)90099-3
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Cites Work
- Dynamic Generalized Linear Models and Bayesian Forecasting
- Infinite dimensional linear systems theory
- Title not available (Why is that?)
- Quasi-likelihood estimation for semimartingales
- The foundations of finite sample estimation in stochastic processes
- Multiparametric estimating equations
- Optimal estimation for semimartingales
- Estimating equations in the presence of prior knowledge
- Title not available (Why is that?)
Cited In (6)
- A note on filtering for long memory processes
- Optimal estimating functions, quasi-likelihood and statistical modelling
- Recursive estimation for continuous time stochastic volatility models
- A note on Model Reference Adaptive System (MRAS) estimate with infinite variance
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- Filtering via estimating functions
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