Inference for a nonlinear semimartingale regression model
Consider the semimartingale regression model $X(t)$ = $X(0)$ + $\int\sbsp{0}{t}$ $Y(s)\alpha(s,Z(s))$ $ds + M(t)$, where $Y, Z$ are observable covariate processes, $\alpha$ is a (deterministic) function of both time and the covariate process $Z$, and $M$ is a square integrable martingale. Under the...
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| Format: | Others |
| Language: | English |
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| Online Access: |
http://purl.flvc.org/fsu/lib/digcoll/etd/3086793 |