Discretely Observed Diffusions: Classes of Estimating Functions and Small Δ‐optimality

DOI10.1111/1467-9469.00228zbMath0973.60079OpenAlexW2021365472MaRDI QIDQ2722307

Martin Jacobsen

Publication date: 11 July 2001

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9469.00228

zbMATH Keywords

martingale estimating functionsasymptotic normality of estimatorsminimizing asymptotic covariancesreversible estimating functionssimple estimating functionstransition dependent estimating functions

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Analysis of variance and covariance (ANOVA) (62J10)

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