Recursive parameter estimation for semimartingales
DOI10.1080/00207728808964085zbMATH Open0652.93055OpenAlexW2042332641MaRDI QIDQ3798566FDOQ3798566
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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
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- scientific article; zbMATH DE number 3886919
- On Recursive Estimation in Incomplete Data Models
asymptotic normalitycensored observationsmissing observationsStrong consistencysemimartingale modeloptimal estimating functionsrecursive estimation algorithm
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)
Cites Work
- An Optimum Property of Regular Maximum Likelihood Estimation
- Title not available (Why is that?)
- Semimartingales: A course on stochastic processes
- Quasi-likelihood estimation for semimartingales
- Recursive parameter estimation for counting processes with linear intensity
- Asymptotic likelihood theory for diffusion processes
- Optimal estimation for semimartingales
- MODEL REFERENCE ADAPTIVE SYSTEM ESTIMATES FOR COUNTING PROCESSES
Cited In (9)
- Recursive estimation procedures for one-dimensional parameter of statistical models associated with semimartingales
- Recursive approximate maximum likelihood estimation for a class of counting process models
- Title not available (Why is that?)
- Convergence analysis of parametric identification methods for jump processes
- Recursive Estimation of a Vector Parameter under Bahadur Risk
- Estimation of the shift parameter in regression models with unknown distribution of the observations
- Stochastic methods for neural systems
- Title not available (Why is that?)
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