Estimation for a Semimartingale Regression Model Using the Method of Sieves

Open Access

1 June 1986

journal article
Published by Institute of Mathematical Statistics in The Annals of Statistics

Vol. 14 (2) , 579-589
https://doi.org/10.1214/aos/1176349939

Abstract

Estimation by the method of sieves for a semimartingale regression model introduced by Aalen (1980) 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 $L^2$-norm are given. Applications to diffusion processes and point processes with censored data are also discussed.

Keywords

CENSORING
DIFFUSION PROCESS
REGRESSION ANALYSIS
CENSORED DATA
REGRESSION MODEL
STOCHASTIC PROCESS
POINT PROCESS

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