MPS-misc 1998-2
July 1998

On asymptotics of estimating functions

Michael Sørensen

Abstract

The asymptotic theory of estimators obtained from estimating functions is reviewed and some new results on the multivariate parameter case are presented. Specifically, results about existence of consistent estimators and about asymptotic normality of these are given. First a very general stochastic process setting is considered. Then it is demonstrated how more specific conditions for existence of consistent and asymptotically normal estimators can be given for martingale estimating functions in the case of observations of a Markov process.

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