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Abstract: The prediction-based estimating functions proposed by (Srensen, 1999) are generalized to facilitate parameter estimation in discretely observed stochastic differential equations, where the observations are corrupted by additive white noise. The new class of estimating functions has most of the nice properties of martingale estimating functions. However, they may be applied when no obvious or easily calculated martingales exist. Simple expressions are derived for the optimal estimating functions ... (Update)
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BibTeX entry: (Update)
@misc{ nols-predictionbased,
author = "Kim Nolsøe and Jan Nygaard Nielsen and Henrik Madsen",
title = "Prediction-based Estimating Functions for Diffusion Processes with Measurement
Noise",
url = "citeseer.ist.psu.edu/416624.html" }
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