Recursive approximate maximum likelihood estimation for a class of counting process models
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Publication:1182759
DOI10.1016/0047-259X(91)90099-NzbMath0739.62069MaRDI QIDQ1182759
Publication date: 28 June 1992
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
consistencyLyapunov functionsrecursive algorithmcounting processleast squares estimationintensityapproximations of maximum likelihood estimatorsweak convergence for martingales
Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09) Martingales with continuous parameter (60G44) Sequential estimation (62L12)
Related Items (4)
On delay-dependent stability for vector nonlinear stochastic delay-difference equations with Volterra diffusion term ⋮ Semimartingale stochastic approximation procedure and recursive estimation ⋮ Recursive estimation procedures for one-dimensional parameter of statistical models associated with semimartingales ⋮ Almost sure asymptotic stability of drift-implicit \(\theta\)-methods for bilinear ordinary stochastic differential equations in \(\mathbb R^1\)
Cites Work
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- Convergence results for continuous-time adaptive stochastic filtering algorithms
- Recursive parameter estimation for counting processes with linear intensity
- Quasi-least-squares estimation in semimartingale regression models
- Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems
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