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On Time-Reversibility and Estimating Functions for Markov Processes

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  • Mathieu Kessler
  • Michael Sørensen

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  • Mathieu Kessler & Michael Sørensen, 2005. "On Time-Reversibility and Estimating Functions for Markov Processes," Statistical Inference for Stochastic Processes, Springer, vol. 8(1), pages 95-107, January.
    • Handle: RePEc:spr:sistpr:v:8:y:2005:i:1:p:95-107
    DOI: 10.1023/B:SISP.0000049125.31288.fa
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    References listed on IDEAS

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    1. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    2. Mathieu Kessler & Silvestre Paredes, 2002. "Computational Aspects Related to Martingale Estimating Functions for a Discretely Observed Diffusion," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 29(3), pages 425-440, September.
    3. Hansen, Lars Peter & Scheinkman, Jose Alexandre, 1995. "Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes," Econometrica, Econometric Society, vol. 63(4), pages 767-804, July.
    4. Asger Roer Pedersen, 2000. "Estimating the Nitrous Oxide Emission Rate from the Soil Surface by Means of a Diffusion Model," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 27(3), pages 385-403, September.
    5. Martin Jacobsen, 2001. "Discretely Observed Diffusions: Classes of Estimating Functions and Small Δ‐optimality," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 28(1), pages 123-149, March.
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