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MaPhySto
Centre for Mathematical Physics and Stochastics
Department of Mathematical Sciences, University of Aarhus

Funded by The Danish National Research Foundation




MPS-RR 1998-23
September 1998




Simplified Estimating Functions for Diffusion Models with a High-dimensional Parameter

by:

Michael Sørensen

Bo Martin Bibby

Abstract

(Shortened) We consider estimating functions for discretely observed diffusion processes of the following type: For one part of the parameter of interest we propose to use a simple and explicit estimating function of the type studied by Kessler (1996); for the remaining part of the parameter we use a martingale estimating function.

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This paper has now been published in Scand. J. Stat. 28, 99-112 (2001).