*Tid:***1 mars 1999 kl 1515-1700 **

*Plats :***Seminarierummet 3733**, Institutionen för
matematik, KTH, Lindstedts väg 25, plan 7. Karta!

*Föredragshållare:***
Martin Jacobsen, Teoretisk
statistik, Köpenhamns Universitet.
**

**Titel:** **
Discretely observed diffusions: classes of
estimating functions and small delta optimality.
**

*Sammanfattning: *

Consider an ergodic diffusion process, depending on some unknown
parameters, observed discretely at **n** equidistant point in time. It is
usually very difficult - if not downright impossible - to perform exact
maximum-likelihood estimation, so instead one resorts to the use of
unbiased estimating functions that at least lead to estimators that are
consistent and asymptotically
Gaussian
as **n** tends to infinity.

In the talk the different types of estimating functions suggested in the literature are discussed together with their asymptotic properties. The problem of finding estimating functions that are in some sense optimal will receive particular attention - e.g. through the new concept of small delta optimality.