Optimal nonparametric estimation for some semimartingale stochastic differential equations

DOI10.1016/0096-3003(90)90054-7zbMath0731.62093WikidataQ127391211 ScholiaQ127391211MaRDI QIDQ5896583

Mary E. Thompson, A. Thavaneswaran

Publication date: 1990

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0096-3003(90)90054-7

zbMATH Keywords

Banach space; Nelson-Aalen estimator; cumulative hazard function; diffusion models; extended gamma process model; general optimality criterion; infinite dimensional parameter; optimality of a generalized score function; semimartingale stochastic differential equation model

Mathematics Subject Classification ID

62G07: Density estimation

62M05: Markov processes: estimation; hidden Markov models

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

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