Identifying nonlinear covariate effects in semimartingale regression models (Q1262059)

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Identifying nonlinear covariate effects in semimartingale regression models
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    Identifying nonlinear covariate effects in semimartingale regression models (English)
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    1990
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    Let \(X_ t\) be a semimartingale which is either continuous or of counting process type and which satisfies the stochastic differential equation \[ dX_ t=Y_ t\alpha (t,Z_ t)dt+dM_ t, \] where Y and Z are predictable covariate processes, M is a martingale and \(\alpha\) is an unknown, nonrandom function. We study inference for \(\alpha\) by introducing an estimator for \[ {\mathcal A}(t,z)=\int^{z}_{0}\int^{t}_{0}\alpha (s,x)ds dx \] and deriving a functional central limit theorem for the estimator. The asymptotic distribution turns out to be given by a Gaussian random field that admits a representation as a stochastic integral with respect to a multiparameter Wiener process. This result is used to develop a test for independence of X from the covariate Z, a test for time-homogeneity of \(\alpha\), and a goodness-of- fit test for the proportional hazards model \(\alpha (t,z)=\alpha_ 1(t)\alpha_ 2(z)\) used in survival analysis.
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    diffusion processes
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    censored survival data
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    nonlinear semimartingale regression
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    semimartingale
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    counting process
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    functional central limit theorem
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    Gaussian random field
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    stochastic integral
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    multiparameter Wiener process
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    test for independence
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    test for time-homogeneity
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    goodness-of-fit test
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    proportional hazards model
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