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.

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Year of publication:	1986
Authors:	Hutton, James E. ; Nelson, Paul I.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 22.1986, 2, p. 245-257
Publisher:	Elsevier
Keywords:	consistent estimation semimartingale birth and death process quasi-likelihood

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008873932