Partial likelihood process and asymptotic normality

Jean Jacod

Stochastic Processes and their Applications, 1987, vol. 26, 47-71

Abstract: We introduce a notion of partial likelihood for binary statistical experiments, when the relevant observation consists of a stochastic process which is a semimartingale with prescribed characteristics. This extends the concept of partial likelihood introduced by Cox. We also present a notion of partial Hellinger processes associated with the partial likelihood. Finally, we use these processes to provide criteria for asymptotic normality of the partial likelihood.

Keywords: partial; likelihood; semimartingale; process; partial; Hellinger; process; asymptotic; normality (search for similar items in EconPapers)
Date: 1987
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