An asymptotic sufficiency property of observations related to the first hitting times of a diffusion

V. Genon-Catalot and C. Larédo

Statistics & Probability Letters, 1990, vol. 9, issue 3, 253-258

Abstract: Consider a one-dimensional diffusion with unknown positive drift and small variance [var epsilon]. We prove the asymptotic sufficiency of the complete or of some partial observations of the first hitting times process of the diffusion, as [var epsilon] goes to 0.

Keywords: Diffusion; process; hitting; time; minimum; contrast; process; with; independent; increments; sufficiency; small; variance (search for similar items in EconPapers)
Date: 1990
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