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- W2080644559 abstract "Abstract. We consider an asymptotically efficient estimator of the drift parameter for a multi-dimensional diffusion process with small dispersion parameter ɛ. In the situation where the sample path is observed at equidistant times k/n, k = 0, 1, …, n, we study asymptotic properties of an M-estimator derived from an approximate martingale estimating function as ɛ tends to 0 and n tends to ∞ simultaneously." @default.
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- W2080644559 date "2004-12-01" @default.
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- W2080644559 title "Estimation for Discretely Observed Small Diffusions Based on Approximate Martingale Estimating Functions" @default.
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- W2080644559 doi "https://doi.org/10.1111/j.1467-9469.2004.00406.x" @default.
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