an:04201268
Zbl 0727.60037
Jacod, Jean
Sur le processus de vraisemblance partielle. (On the partial likelihood process)
FR
Ann. Inst. Henri Poincar??, Probab. Stat. 26, No. 2, 299-329 (1990).
00174477
1990
j
60G05 62M99 60G48
partial likelihood processes; semimartingales; invariance properties; asymptotic normality
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.
Zbl 0632.62088