MPS-RR 2002-25
July 2002
On time-reversibility and estimating functions for Markov processes
by:
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)![[MaPhySto logo]](../../Graphics/logo.gif){kind=logo}