On quasi likelihood for semimartingales

DOI10.1016/0304-4149(90)90011-GzbMath0714.62075MaRDI QIDQ751137

Michael Sørensen

Publication date: 1990

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

decomposition; semimartingale; martingale estimating functions; continuous martingale part; discontinuous martingale part; general quasi-likelihood framework; quasi-score function; true score estimating function

Mathematics Subject Classification ID

62M09: Non-Markovian processes: estimation

62F10: Point estimation

60G48: Generalizations of martingales

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Regularity, partial regularity, partial information process, for a filtered statistical model, A quasi likelihood for integral data on birth and death on flows, Large deviation probabilities in estimation of Poisson random measures, Information quantities in non-classical settings, Transform martingale estimating functions, Efficiency of estimators for partially specified filtered models

Cites Work

• Calcul stochastique et problèmes de martingales
• Interchanging the order of differentiation and stochastic integration
• Partial likelihood process and asymptotic normality
• On combining quasi-likelihood estimating functions
• Quasi-likelihood estimation for semimartingales
• Quasi-Likelihood and Optimal Estimation, Correspondent Paper
• [https://portal.mardi4nfdi.de/wiki/Publication:4076585 Caract�ristiques locales et conditions de continuit� absolue pour les semi-martingales]
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