Recursive parameter estimation for semimartingales

DOI10.1080/00207728808964085MaRDI QIDQ3798566zbMATH OpenOpenAlexFDO

Authors

Publication date 1988

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL http://www.lib.ncsu.edu/resolver/1840.4/8428

zbMATH Keywords

asymptotic normalitycensored observationsmissing observationsStrong consistencysemimartingale modeloptimal estimating functionsrecursive estimation algorithm

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Probabilistic methods, stochastic differential equations (65C99) Sequential estimation (62L12) Generalizations of martingales (60G48) Estimation and detection in stochastic control theory (93E10)

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Cites work

• scientific article; zbMATH DE number 3576395 (Why is no real title available?)
• An Optimum Property of Regular Maximum Likelihood Estimation
• Asymptotic likelihood theory for diffusion processes
• MODEL REFERENCE ADAPTIVE SYSTEM ESTIMATES FOR COUNTING PROCESSES
• Optimal estimation for semimartingales
• Quasi-likelihood estimation for semimartingales
• Recursive parameter estimation for counting processes with linear intensity
• Semimartingales: A course on stochastic processes

Cited in

(9)

• scientific article; zbMATH DE number 4096567 (Why is no real title available?)
• scientific article; zbMATH DE number 3886919 (Why is no real title available?)
• Estimation of the shift parameter in regression models with unknown distribution of the observations
• Recursive Estimation of a Vector Parameter under Bahadur Risk
• scientific article; zbMATH DE number 4052797 (Why is no real title available?)
• Stochastic methods for neural systems
• Recursive approximate maximum likelihood estimation for a class of counting process models
• Convergence analysis of parametric identification methods for jump processes
• Recursive estimation procedures for one-dimensional parameter of statistical models associated with semimartingales

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