Local asymptotic quadraticity of stochastic process models based on stopping times

Harald Luschgy

Stochastic Processes and their Applications, 1995, vol. 57, issue 2, 305-317

Abstract: Consider a semimartingale whose drift and jump characteristic depend on an unknown parameter. The process is observed up to some stopping time [eta]. We establish conditions which ensure that the resulting statistical model admits locally a quadratic approximation of the log-likelihood process with asymptotics as [eta] --> [infinity]. This provides an important step in the solution of the inference problem for the unknown parameter based on random stopping.

Keywords: Semimartingale; models; Random; observation; periods; Locally; quadratic; likelihood (search for similar items in EconPapers)
Date: 1995
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