Asymptotic inference for semimartingale models with singular parameter points
DOI10.1016/0378-3758(94)90204-6zbMATH Open0807.62062OpenAlexW2042865985MaRDI QIDQ1330191FDOQ1330191
Authors: Harald Luschgy 
Publication date: 12 July 1994
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0378-3758(94)90204-6
Recommendations
local quadratic approximationpoint processessingularitieslimiting distributionsasymptotic inferencediffusions with jumpscontinuous diffusion processesdifferentiable experimentsmixed normalpredictable bracketquasi-left continuous semimartingalesscore martingalesemimartingale models
Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Non-Markovian processes: estimation (62M09) Generalizations of martingales (60G48)
Cites Work
- Asymptotic methods in statistical decision theory
- Multiple Time Series Regression with Integrated Processes
- Limiting distributions of least squares estimates of unstable autoregressive processes
- Mathematical theory of statistics. Statistical experiments and asymptotic decision theory
- Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)
- Asymptotic inference for nearly nonstationary AR(1) processes
- Towards a unified asymptotic theory for autoregression
- Asymptotics in statistics: some basic concepts
- ON ASYMPTOTIC INFERENCE IN COINTEGRATED TIME SERIES WITH FRACTIONALLY INTEGRATED ERRORS
- Title not available (Why is that?)
- Calcul stochastique et problèmes de martingales
- The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
- On contiguity of probability measures corresponding to semimartingales
- Linear stochastic systems with constant coefficients. A statistical approach
- Estimation of the means in the branching process with immigration
- Local asymptotic mixed normality for semimartingale experiments
- Maximum likelihood estimation for continuous-time stochastic processes
- Some comments concerning a curious singularity
- Title not available (Why is that?)
- Asymptotics of maximum likelihood estimators for the Curie-Weiss model
- Asymptotic minimax results for stochastic process families with critical points
- Title not available (Why is that?)
- A note on statistical inference for a class of diffusions and approximate diffusions
- Inference for earthquake models: A self-correcting model
- A stochastic integral in storage theory
- Comparison of location models for stochastic processes
- Sequential estimation for branching processes with immigration
- Title not available (Why is that?)
- Parameter estimation for the simple self-correcting point process
- Title not available (Why is that?)
- Title not available (Why is that?)
- A theory of dams with continuous input and a general release rule
- Title not available (Why is that?)
- Title not available (Why is that?)
Cited In (8)
- Asymptotic behavior of maximum likelihood estimator for time inhomogeneous diffusion processes
- Statistical inference and Malliavin calculus
- Local asymptotic quadraticity of stochastic process models based on stopping times
- Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model
- Hypotheses testing: Poisson versus stress-release
- Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations
- Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations
- Inference for Continuous Semimartingales Observed at High Frequency
This page was built for publication: Asymptotic inference for semimartingale models with singular parameter points
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1330191)
