Asymptotically optimal estimator of the parameter of semi-linear autoregression

• Date: 2007
• Main Author: Ivanenko, D.
• Format: Article
• Language: English
• Published: Інститут математики НАН України 2007
• Online Access: https://nasplib.isofts.kiev.ua/handle/123456789/4475
• Journal Title: Digital Library of Periodicals of National Academy of Sciences of Ukraine
• Cite this: Asymptotically optimal estimator of the parameter of semi-linear autoregression / D. Ivanenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С.77-85. — Бібліогр.: 7 назв.— англ.

The difference equations ξk = af(ξk-1) + εk, where (εk) is a square integrable difference martingale, and the differential equation dξ =-af(ξ)dt + dη, where η is a square integrable martingale, are considered. A family of estimators depending, besides the sample size n (or the observation period, if...