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We study an asymptotically efficient estimator for drift parameters of a onedimensional small diffusion process with a linear drift. A martingale estimating function can be constructed for this model,... and an estimator obtained from the estimating function has an explicit form. Under the situation where the sample path is observed at $ n $ regularly spaced time points $ t_k = k/n $ on the interval [0, 1], we consider asymptotic properties of the estimator as a small dispersion parameter $ \varepsilon \rightarrow 0 $ and $ n \rightarrow infty $ simultaneously.続きを見る
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Mendeley出力
