Parameter estimation and reverse martingales (Q1272169): Difference between revisions
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Revision as of 05:45, 21 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Parameter estimation and reverse martingales |
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Parameter estimation and reverse martingales (English)
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23 November 1998
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The authors investigate identifiability properties of unknown parameters within the framework of transitive sufficient processes. They show that every unbiased estimator process is a reverse martingale, which immediately gives strong consistency results. Structural properties of unbiased estimators are also studied. A number of examples is given.
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parameter estimation
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reverse martingales martingale theory
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diffusions
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time reversal
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