In this paper prediction-based estimating functions (PBEFs), introduced in Sørensen (2000), are reviewed and PBEFs for …

’s backward equation, neural networks and functions of our choice. Martingale estimating functions will be used to obtain …

focus is on estimating functions and asymptotic results. Maximum likelihood estimation is briefly considered, but the … emphasis is on computationally less demanding martingale estimating functions. Particular attention is given to explicit … estimating functions. Results on both fixed frequency and high frequency asymptotics are given. When choosing among the many …

approximate martingale estimating functions and covers a large class of estimators including most of the pre- viously proposed …. Optimal martingale estimating functions in the sense of Godambe and Heyde are shown to be give rate optimal and efficient …

discrete points in time. The reader is introduced to the following techniques: (i) estimating functions with special emphasis … on martingale estimating functions and so-called simple estimating functions; (ii) analytical and numerical …