Title of article
Approximate martingale estimating functions for stochastic differential equations with small noises
Author/Authors
Uchida، نويسنده , , Masayuki، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2008
Pages
16
From page
1706
To page
1721
Abstract
An approximate martingale estimating function with an eigenfunction is proposed for an estimation problem about an unknown drift parameter for a one-dimensional diffusion process with small perturbed parameter ε from discrete time observations at n regularly spaced time points k / n , k = 0 , 1 , … , n . We show asymptotic efficiency of an M -estimator derived from the approximate martingale estimating function as ε → 0 and n → ∞ simultaneously.
Keywords
Asymptotic efficiency , Discrete time observation , Diffusion processes with small dispersion parameters , Parametric inference , eigenfunction
Journal title
Stochastic Processes and their Applications
Serial Year
2008
Journal title
Stochastic Processes and their Applications
Record number
1578017
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