Optimality and small \(\Delta\)-optimality of martingale estimating functions

zbMath1007.62069MaRDI QIDQ1857349

Martin Jacobsen

Publication date: 26 March 2003

Published in: Bernoulli (Search for Journal in Brave)

zbMATH Keywords

optimalityasymptotic variancediffusionsestimating functionsgeneralized Cox-Ingersoll-Ross processsmall delta-optimality

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Martingales with continuous parameter (60G44)

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