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

Funded by The Danish National Research Foundation

MPS-RR 2002-25
July 2002

On time-reversibility and estimating functions for Markov processes


Michael Sørensen

Mathieu Kessler


The time-reversibility of a Markov process implies a particular structure of the score function. It is explored which martingale estimating functions and other unbiased estimating functions have a similar structure. This leads to an estimating function with a semiparametric efficiency property. Also relations to martingale estimating functions based on eigenfunctions of the infinitesimal generator are found.

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This paper has now been published in Statistical Inference for Stochastic Processes, 8, 95-107 (2005)