Estimation for a Semimartingale Regression Model Using the Method of Sieves.

Abstract

Estimation by the method of sieves for a semimartingale regression model introduced by Aalen is studied. It is of interest to estimate functions which describe the influence of the covariates over time. An estimator for these functions is introduced and conditions which ensure consistency of the estimator in l sub 2 norm are given. Applications to diffusion processes and point processes with censored data are also discussed. (Author)

Document Details

Document Type
Technical Report
Publication Date
Aug 01, 1984
Accession Number
ADA146809

Entities

People

  • I. W. Mckeague

Organizations

  • Florida State University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Algorithms
  • Consistency
  • Diffusion
  • Estimators

Fields of Study

  • Mathematics

Readers

  • Statistical inference.
  • Strategic Security Studies