Asymptotically Optimal Estimator of the Parameter of Semi - Linear Autoregression
نویسنده
چکیده
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 time is continuous) on some random Lipschitz functions is constructed. Asymptotic optimality of this estimators is investigated.
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