A review of asymptotic theory of estimating functions

TY - JOUR

T1 - A review of asymptotic theory of estimating functions

AU - Jacod, Jean

AU - Sørensen, Michael

PY - 2018/7/1

Y1 - 2018/7/1

N2 - Asymptotic statistical theory for estimating functions is reviewed in a generalitysuitable for stochastic processes. Conditions concerning existence of a consistent estimator,uniqueness, rate of convergence, and the asymptotic distribution are treated separately. Ourconditions are not minimal, but can be verified for many interesting stochastic processmodels.Several examples illustrate the wide applicability of the theory and why the generality isneeded.

AB - Asymptotic statistical theory for estimating functions is reviewed in a generalitysuitable for stochastic processes. Conditions concerning existence of a consistent estimator,uniqueness, rate of convergence, and the asymptotic distribution are treated separately. Ourconditions are not minimal, but can be verified for many interesting stochastic processmodels.Several examples illustrate the wide applicability of the theory and why the generality isneeded.

U2 - 10.1007/s11203-018-9178-8

DO - 10.1007/s11203-018-9178-8

M3 - Journal article

SN - 1387-0874

VL - 21

SP - 415

EP - 434

JO - Statistical Inference for Stochastic Processes

JF - Statistical Inference for Stochastic Processes

IS - 2

ER -