Regularity, partial regularity, partial information process, for a filtered statistical model

DOI10.1007/BF01208255zbMath0677.62001MaRDI QIDQ1123494

Jean Jacod

Publication date: 1990

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

zbMATH Keywords

partial regularitystochastic integralssemi-parametric modelspartial likelihood processesregular modelcomplete information processdifferentiability of characteristicsFisher information processgeneralization of Cramér-Rao inequalitypartial information processpartial likelihoodsquasi- likelihood processes

Mathematics Subject Classification ID

Foundations and philosophical topics in statistics (62A01) Parametric inference (62F99) Sufficiency and information (62B99)

Related Items (5)

Efficiency of estimators for partially specified filtered models ⋮ Differentiablity of point process models and asymptotic efficiency of differentiable functionals ⋮ Information bounds for inverse problems with application to deconvolution and Lévy models ⋮ Local asymptotic mixed normality for semimartingale experiments ⋮ Semimartingale stochastic approximation procedure and recursive estimation

Cites Work

• On quasi likelihood for semimartingales
• Sur le processus de vraisemblance partielle. (On the partial likelihood process)
• Mathematical theory of statistics. Statistical experiments and asymptotic decision theory
• Asymptotic methods in statistical decision theory
• Quasi-likelihood estimation for semimartingales
• Efficiency of empirical estimators for Markov chains
• The foundations of finite sample estimation in stochastic processes
• Optimal estimation for semimartingales
• Quasi-Likelihood and Optimal Estimation, Correspondent Paper
• Remarks on efficiency in estimation for branching processes
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