Estimation of the parameters of a diffusion through corrected contrasts. (Estimation des paramètres d’une diffusion par des contrastes corrigés.) (French) Zbl 0831.62059
Summary: For the estimation of the parameters of a discretized diffusion when the discretization step tends to zero, we exhibit corrected contrasts depending on the rate the discretization step decreases to zero. From these contrasts, we derive asymptotically efficient estimators.
MSC:
| 62M05 | Markov processes: estimation; hidden Markov models |
| 62F12 | Asymptotic properties of parametric estimators |
