ON THE ESTIMATION OF THE DIFFUSION-COEFFICIENT FOR MULTIDIMENSIONAL DIFFUSION-PROCESSES

被引：0
|
作者：
GENONCATALOT, V
JACOD, J
机构：
[1] UNIV PARIS 06,PROBABIL LAB,URA N 224,F-75252 PARIS 05,FRANCE
[2] UNIV PARIS 07,URA N 1321,F-75251 PARIS 05,FRANCE
来源：
ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES | 1993年 / 29卷 / 01期
关键词：
LAMN PROPERTY; ASYMPTOTIC ESTIMATION; ESTIMATION FOR DIFFUSIONS;
D O I：
暂无
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
If a diffusion process has a diffusion coefficient which depends on a parameter theta, one can construct consistent sequences of estimators of theta based on the observation of the process at only n times, as n goes to infinity. Here we construct such estimators, and study their asymptotic efficiency. Of special interest to us are the multi-dimensional case (for the process) and the consideration of rather general sampling schemes.
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页码：119 / 151
页数：33
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