IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v35y1990i2p331-346.html
   My bibliography  Save this article

On quasi likelihood for semimartingales

Author

Listed:
  • Sørensen, Michael

Abstract

A new general approach to constructing a quasi score function for a class of stochastic processes is proposed. A crucial point in the construction is the separate treatment of the continuous martingale part and the purely discontinuous martingale part. The proposed estimating function fits into the general quasi likelihood framework given by Godambe and Heyde (1987) and is shown to be optimal within the class of essentially all martingale estimating functions according to these authors fixed sample criterion as well as their asymptotic criterion. Relations to other work on quasi likelihood for stochastic processes are discussed. The theory is illustrated by examples.

Suggested Citation

  • Sørensen, Michael, 1990. "On quasi likelihood for semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 35(2), pages 331-346, August.
    • Handle: RePEc:eee:spapps:v:35:y:1990:i:2:p:331-346
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0304-4149(90)90011-G
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Florens, Danielle & Pham, Huyên, 1998. "Large deviation probabilities in estimation of Poisson random measures," Stochastic Processes and their Applications, Elsevier, vol. 76(1), pages 117-139, August.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:35:y:1990:i:2:p:331-346. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.