About: Diffusions with measurement errors. II. Optimal estimators

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Attributs	Valeurs
type	work Article
Is Part Of	http://hub.abes.fr/edp/periodical/ps/2001/volume_5/issue_2001/w
Subject	Diffusion processes Asymptotic properties of estimators Markov processes: estimation LAN property. measurement errors Statistics of diffusions
Title	Diffusions with measurement errors. II. Optimal estimators
Date	2001-01-01(xsd:dateTime)
has manifestation of work	http://hub.abes.fr/edp/periodical/ps/2001/volume_5/issue_2001/psVol5-12/m/web http://hub.abes.fr/edp/periodical/ps/2001/volume_5/issue_2001/psVol5-12/m/print
related by	http://hub.abes.fr/edp/periodical/ps/2001/volume_5/issue_2001/psVol5-12/authorship/1 http://hub.abes.fr/edp/periodical/ps/2001/volume_5/issue_2001/psVol5-12/authorship/2
Author	Gloter, Arnaud Jacod, Jean
Abstract	We consider a diffusion process X which is observed at times i/n for i = 0,1,..., n, each observation being subject to a measurement error. All errors are independent and centered Gaussian with known variance p n. There is an unknown parameter to estimate within the diffusion coefficient. In this second paper we construct estimators which are asymptotically optimal when the process X is a Gaussian martingale, and we conjecture that they are also optimal in the general case.
article type	research-article
publisher identifier	psVol5-12
Date Copyrighted	2001-01-01(xsd:dateTime)
Rights	© EDP Sciences, SMAI, 2001
Rights Holder	EDP Sciences, SMAI
is part of this journal	ESAIM: Probability and Statistics
is primary topic of	http://hub.abes.fr/edp/periodical/ps/2001/volume_5/issue_2001/psVol5-12/w/record

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