Geodesic
Asymptotically optimal estimator of
Teoriâ slučajnyh processov, Tome 13 (2007) no. 1, pp. 77-85 Cet article a éte moissonné depuis la source Math-Net.Ru

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The difference equations $\xi_k=af(\xi_{k-1})+\varepsilon_k,$ where$\varepsilon_k$ is a square integrable difference martingale, and the differential equation $d\xi=-af(\xi)dt+d\eta,$ where $\eta$ 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.
Keywords: estimator, optimization
Mots-clés : Martingale, convergence. 
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Dmytro Ivanenko. Asymptotically optimal estimator of. Teoriâ slučajnyh processov, Tome 13 (2007) no. 1, pp. 77-85. http://geodesic.mathdoc.fr/item/THSP_2007_13_1_a7/

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