Parameter estimation and reverse martingales

Tomas Bjork and Björn Johansson

Stochastic Processes and their Applications, 1996, vol. 63, issue 2, 235-263

Abstract: Within the framework of transitive sufficient processes we investigate identifiability properties of unknown parameters. In particular we consider unbiased parameter estimators, which are shown to be closely connected to time reversal and to reverse martingales. One of the main results is that, within our framework, every unbiased estimator process is a reverse martingale, thus automatically giving us strong consistency results. We also study structural properties of unbiased estimators, and it is shown that the existence of an unbiased parameter estimator is equivalent to the existence of a solution to an inverse boundary value problem. We give explicit representation formulas for the estimators in terms of Feynman-Kac type representations using complex valued diffusions, and we also give Cramér-Rao bounds for the estimation error.

Keywords: Parameter; estimation; Reverse; martingales; Martingale; theory; Diffusions; Time; reversal (search for similar items in EconPapers)
Date: 1996
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Working Paper: Parameter Estimation and Reverse Martingales (1995)
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