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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 1999-14
April 1999




Prediction-Based Estimating Functions

by:

Michael Sørensen

Abstract

Keywords: Asymptotic normality, consistency, diffusion compartment model, diffusion processes, discrete time observation of continuous time models, linear predictors, martingale estimating functions, mixing, optimal estimating functions, stochastic differential equation, stochastic volatility model, stock prices, sum of Ornstein-Uhlenbeck type processes, quasi-likelihood.

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This paper has now been published in Econometrics Journal 3, 123-147 (2000)