Martingale Estimation Functions for Discretely Observed Diffusion Processes
Martingale Estimation Functions for Discretely Observed Diffusion Processes
We consider three different martingale estimating functions based on discrete-time observations of a diffusion process. One is the discretized continuous-time score function adjusted by its compensator. The other two emerge naturally when optimality properties of the first are considered. Subject to natural regularity conditions, we show that all three martingale …