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Search: subject:"Approximate martingale estimating functions"
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Approximate martingale estimating functions
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Euler approximation
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discrete time observation of a diffusion
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efficiency
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generalized method of moments
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optimal estimating function
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optimal rate
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small delta-optimality
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English
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Sørensen, Michael
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School of Economics and Management, University of Aarhus
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Efficient estimation for ergodic diffusions sampled at high frequency
Sørensen, Michael
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School of Economics and Management, University of Aarhus
-
2008
approximate
martingale
estimating
functions
and covers a large class of estimators including most of the pre- viously proposed …
Persistent link: https://ebvufind01.dmz1.zbw.eu/10005114125
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