A review of asymptotic theory of estimating functions

Jean  Jacod; Michael Sørensen

doi:10.1007/s11203-018-9178-8

A review of asymptotic theory of estimating functions

Jean Jacod, Michael Sørensen

Institut for Matematiske Fag

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

17 Citationer (Scopus)

154 Downloads (Pure)

Abstract

Asymptotic statistical theory for estimating functions is reviewed in a generality
suitable for stochastic processes. Conditions concerning existence of a consistent estimator,
uniqueness, rate of convergence, and the asymptotic distribution are treated separately. Our
conditions are not minimal, but can be verified for many interesting stochastic processmodels.
Several examples illustrate the wide applicability of the theory and why the generality is
needed.

Originalsprog	Engelsk
Tidsskrift	Statistical Inference for Stochastic Processes
Vol/bind	21
Udgave nummer	2
Sider (fra-til)	415-434
ISSN	1387-0874
DOI	https://doi.org/10.1007/s11203-018-9178-8
Status	Udgivet - 2018

Adgang til dokumentet

10.1007/s11203-018-9178-8

arXiv-versionIndsendt manuskript, 277 KB

Citationsformater

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