Quasi-likelihood estimation for semimartingales
A technique of parameter estimation for a semimartingale based on the maximization of a likelihood type function is proposed. This technique is shown to be optimal in the sense of Godambe within a certain class of estimating equations. The resulting estimators are shown to be consistent and asymptotically normally distributed on certain events under relatively weak assumptions.
Volume (Year): 22 (1986)
Issue (Month): 2 (July)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description|
|Order Information:|| Postal: http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:22:y:1986:i:2:p:245-257. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.