[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v22y1986i2p245-257.html
   My bibliography  Save this article

Quasi-likelihood estimation for semimartingales

Author

Listed:
  • Hutton, James E.
  • Nelson, Paul I.
Abstract
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.

Suggested Citation

  • Hutton, James E. & Nelson, Paul I., 1986. "Quasi-likelihood estimation for semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 22(2), pages 245-257, July.
    • Handle: RePEc:eee:spapps:v:22:y:1986:i:2:p:245-257
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0304-4149(86)90004-9
    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. Peter C. B. Phillips & Jun Yu, 2006. "A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete," Macroeconomics Working Papers 22472, East Asian Bureau of Economic Research.
    2. Thavaneswaran, A. & Peiris, Shelton, 1998. "Hypothesis testing for some time-series models: a power comparison," Statistics & Probability Letters, Elsevier, vol. 38(2), pages 151-156, June.
    3. Phillips, Peter C.B. & Yu, Jun, 2009. "A two-stage realized volatility approach to estimation of diffusion processes with discrete data," Journal of Econometrics, Elsevier, vol. 150(2), pages 139-150, June.
    4. Teo Sharia, 2010. "Recursive parameter estimation: asymptotic expansion," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 62(2), pages 343-362, April.
    5. Kim, Yoon Tae, 1999. "Parameter estimation in infinite-dimensional stochastic differential equations," Statistics & Probability Letters, Elsevier, vol. 45(3), pages 195-204, November.
    6. Crimaldi, Irene & Pratelli, Luca, 2005. "Convergence results for multivariate martingales," Stochastic Processes and their Applications, Elsevier, vol. 115(4), pages 571-577, April.
    7. Peter C.B. Phillips & Jun Yu, 2005. "A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations," Cowles Foundation Discussion Papers 1523, Cowles Foundation for Research in Economics, Yale University.
    8. Sharrock, Louis & Kantas, Nikolas & Parpas, Panos & Pavliotis, Grigorios A., 2023. "Online parameter estimation for the McKean–Vlasov stochastic differential equation," Stochastic Processes and their Applications, Elsevier, vol. 162(C), pages 481-546.

    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:22:y:1986:i:2:p:245-257. 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.