Asymptotically Optimal Estimator of the Parameter of Semi-Linear Autoregression

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dc.creatorIvanenko, Dmytro
dc.date2007-07-10
dc.date.accessioned2026-07-07T08:14:49Z
dc.date.available2026-07-07T08:14:49Z
dc.descriptionThe difference equations $ξ_{k}=af(ξ_{k-1})+ε_{k}$, where $(ε_k)$ is a square integrable difference martingale, and the differential equation ${\rm d}ξ=-af(ξ){\rm d}t+{\rm d}η$, where $η$ is a square integrable martingale, are considered. A family of estimators depending, besides the sample size $n$ (or the observation period, if time is continuous) on some random Lipschitz functions is constructed. Asymptotic optimality of this estimators is investigated.
dc.description10 pages
dc.identifierhttps://arxiv.org/abs/0707.1384
dc.identifierhttp://arxiv.org/abs/0707.1384
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/133263
dc.subjectStatistics Theory
dc.subjectDynamical Systems
dc.subjectApplications
dc.subject62F12; 60F05
dc.titleAsymptotically Optimal Estimator of the Parameter of Semi-Linear Autoregression
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