Recursive parameter estimation for semimartingales
DOI10.1080/00207728808964085zbMath0652.93055OpenAlexW2042332641MaRDI QIDQ3798566
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Publication date: 1988
Published in: International Journal of Systems Science (Search for Journal in Brave)
Full work available at URL: http://www.lib.ncsu.edu/resolver/1840.4/8428
asymptotic normalitymissing observationscensored observationsStrong consistencysemimartingale modeloptimal estimating functionsrecursive estimation algorithm
Asymptotic properties of parametric estimators (62F12) Estimation and detection in stochastic control theory (93E10) Generalizations of martingales (60G48) Sequential estimation (62L12) Probabilistic methods, stochastic differential equations (65C99)
Related Items (2)
Cites Work
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- Semimartingales: A course on stochastic processes
- Quasi-likelihood estimation for semimartingales
- Recursive parameter estimation for counting processes with linear intensity
- MODEL REFERENCE ADAPTIVE SYSTEM ESTIMATES FOR COUNTING PROCESSES
- Optimal estimation for semimartingales
- Asymptotic likelihood theory for diffusion processes
- An Optimum Property of Regular Maximum Likelihood Estimation
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