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March 1998 Cox's factoring of regression model likelihoods for continuous-time processes
Priscilla E. Greenwood, Wolfgang Wefelmeyer
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Bernoulli 4(1): 65-80 (March 1998).


Cox showed that the likelihood of regression models for discrete-time processes factors into a partial likelihood and a product of conditional laws for the covariates, given the history. Jacod constructed a partial likelihood for continuous-time regression models in terms of the predictable characteristics of the response process. Here we prove a factorization of the likelihood, analogous to Cox's, assuming both the response and the covariates to be semimartingales. The result is useful for counting process regression modelling and inference, and also for regression involving continuous processes and diffusions with jumps.


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Priscilla E. Greenwood. Wolfgang Wefelmeyer. "Cox's factoring of regression model likelihoods for continuous-time processes." Bernoulli 4 (1) 65 - 80, March 1998.


Published: March 1998
First available in Project Euclid: 6 April 2007

zbMATH: 0899.62114
MathSciNet: MR1611875

Keywords: partial likelihood , partially specified model , Semimartingale , Survival analysis

Rights: Copyright © 1998 Bernoulli Society for Mathematical Statistics and Probability

Vol.4 • No. 1 • March 1998
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