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Estimation of the nuisance parameter for a seminartingale regression model

Estimation of the nuisance parameter for a seminartingale regression model A nuisance parameter is introduced to the semimartingale regression model proposed by Aalen (1980), and we construct two estimators for this nuisance parameter based on the results of parametric estimation which were given by Mckeague (1986) using the method of sieves. The consistency of the estimators is also provided. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Mathematicae Applicatae Sinica Springer Journals

Estimation of the nuisance parameter for a seminartingale regression model

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Publisher
Springer Journals
Copyright
Copyright © 1991 by Science Press, Beijing, China and Allerton Press, Inc., New York, U.S.A.
Subject
Mathematics; Applications of Mathematics; Math Applications in Computer Science; Theoretical, Mathematical and Computational Physics
ISSN
0168-9673
eISSN
1618-3932
DOI
10.1007/BF02080198
Publisher site
See Article on Publisher Site

Abstract

A nuisance parameter is introduced to the semimartingale regression model proposed by Aalen (1980), and we construct two estimators for this nuisance parameter based on the results of parametric estimation which were given by Mckeague (1986) using the method of sieves. The consistency of the estimators is also provided.

Journal

Acta Mathematicae Applicatae SinicaSpringer Journals

Published: Jul 13, 2005

References