Jacod, Jean Sur le processus de vraisemblance partielle. (On the partial likelihood process). (French) Zbl 0727.60037 Ann. Inst. Henri Poincaré, Probab. Stat. 26, No. 2, 299-329 (1990). Summary: We propose a definition of partial likelihood processes for general semimartingales, which extends the definition given by the author [Stochastic Processes Appl. 26, 47-71 (1987; Zbl 0632.62088)] and is better fit for statistical problems: we illustrate this statement with some statistical applications. We also prove that partial likelihoods enjoy nice invariance properties: for example they do not change if we replace the basic semimartingale X by \(Y=f(X)\) with an invertible \(C^ 2\) function f. Finally, we observe that the asymptotic normality result of the paper cited above remains true in the present setting. Cited in 1 ReviewCited in 3 Documents MSC: 60G05 Foundations of stochastic processes 62M99 Inference from stochastic processes 60G48 Generalizations of martingales Keywords:partial likelihood processes; semimartingales; invariance properties; asymptotic normality Citations:Zbl 0632.62088 PDFBibTeX XMLCite \textit{J. Jacod}, Ann. Inst. Henri Poincaré, Probab. Stat. 26, No. 2, 299--329 (1990; Zbl 0727.60037) Full Text: Numdam EuDML