Estimation of the nuisance parameter for a semimartingale regression model
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Publication:1179404
DOI10.1007/BF02080198zbMath0738.62085OpenAlexW2013942421MaRDI QIDQ1179404
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
consistencynuisance parametermethod of sievessemimartingale regression modelsquare integrable martingale
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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