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
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
62G07: Density estimation
62M05: Markov processes: estimation; hidden Markov models
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Statistical analysis of counting processes
- A Bayesian nonparametric approach to reliability
- Nonparametric inference for a family of counting processes
- Maximum Likelihood Estimation in the Multiplicative Intensity Model: A Survey
- On Nonparametric Estimation of the Value of a Linear Functional in Gaussian White Noise
- The foundations of finite sample estimation in stochastic processes
- Optimal estimation for semimartingales
- A strong law of large numbers for local martingales
- A Functional Central Limit Theorem for Semimartingales
- On the Efficiency of a Class of Non-Parametric Estimates
- An Optimum Property of Regular Maximum Likelihood Estimation