Martingale estimation functions for Bessel processes

Abstract In this paper we derive martingale estimating functions for the dimensionality parameter of a Bessel process based on eigenfunctions diffusion operator. Since is non-ergodic and theory developed ergodic diffusions, use space-time transformation formulate our results modified process. We deduce consistency, asymptotic normality discuss optimality. It turns out that function first eigenfunction coincides with linear Cox Ingersoll Ross Furthermore, may also be applied to multiplicity one-dimensional Dunkl some related polynomial processes.