Parameter estimation and reverse martingales (Q1272169)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Parameter estimation and reverse martingales |
scientific article; zbMATH DE number 1226252
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Parameter estimation and reverse martingales |
scientific article; zbMATH DE number 1226252 |
Statements
Parameter estimation and reverse martingales (English)
0 references
23 November 1998
0 references
The authors investigate identifiability properties of unknown parameters within the framework of transitive sufficient processes. They show that every unbiased estimator process is a reverse martingale, which immediately gives strong consistency results. Structural properties of unbiased estimators are also studied. A number of examples is given.
0 references
parameter estimation
0 references
reverse martingales martingale theory
0 references
diffusions
0 references
time reversal
0 references
