Quasi-likelihood estimation for semimartingales

James E. Hutton and Paul I. Nelson

Stochastic Processes and their Applications, 1986, vol. 22, issue 2, 245-257

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.

Keywords: consistent; estimation; semimartingale; birth; and; death; process; quasi-likelihood (search for similar items in EconPapers)
Date: 1986
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Citations: View citations in EconPapers (8)

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