scientific article; zbMATH DE number 850377

MaRDI QIDQ4866401zbMATH OpenFDO

Authors A. A. Gushchin

Publication date 19 November 1996

zbMATH Keywords

Ornstein-Uhlenbeck processasymptotic variancequadratic lossautoregressive processlocal asymptotic normalityasymptotic optimalityCramer-Rao inequalityGalton-Watson branching processlocal asymptotic mixed normalityasymptotically centered estimatorslocal asymptotic quadratic condition

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

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(4)

• An alternative approach to asymptotic optimality.
• Asymptotic behavior of maximum likelihood estimator for time inhomogeneous diffusion processes
• Asymptotic minimax bounds for sequential estimators of parameters in a locally asymptotically quadratic family
• Semimartingale stochastic approximation procedure and recursive estimation

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