Estimation of the nuisance parameter for a semimartingale regression model

DOI10.1007/BF02080198zbMath0738.62085OpenAlexW2013942421MaRDI QIDQ1179404

Shaobo Luo, Yimin Pan

Publication date: 26 June 1992

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02080198

zbMATH Keywords

consistencynuisance parametermethod of sievessemimartingale regression modelsquare integrable martingale

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Unnamed Item
• Estimation for a semimartingale regression model using the method of sieves
• Stochastic convergence of weighted sums of random elements in linear spaces
• Nonparametric maximum likelihood estimation by the method of sieves
• Identification of Nonstationary Diffusion Model by the Method of Sieves

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