Parameter estimation and reverse martingales
type: Item
instance of: scholarly article
title: Parameter estimation and reverse martingales
zbMATH Open document ID: 0902.62039
DOI: 10.1016/0304-4149(96)00080-4
published in: Stochastic Processes and their Applications
publication date: 1998-11-23T00:00:00Z
full work available at URL: hastef0079.pdf
review text: 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.
reviewed by: Marie Hušková
Mathematics Subject Classification ID: 62G05
Mathematics Subject Classification ID: 60G44
zbMATH DE Number: 1226252
zbMATH Keywords: parameter estimation
zbMATH Keywords: reverse martingales martingale theory
zbMATH Keywords: diffusions
zbMATH Keywords: time reversal
author: Tomas Björk
author: Björn Johansson
MaRDI profile type: Publication
OpenAlex ID: W2167634827
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description: scientific article; zbMATH DE number 1226252