Approximate martingale estimating functions for stochastic differential equations with small noises

Masayuki Uchida

Stochastic Processes and their Applications, 2008, vol. 118, issue 9, 1706-1721

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 [epsilon] 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 [epsilon]-->0 and n-->[infinity] simultaneously.

Keywords: Asymptotic; efficiency; Diffusion; processes; with; small; dispersion; parameters; Discrete; time; observation; Eigenfunction; Parametric; inference (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (11)

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