S-WoPEc
 
Scandinavian Working Papers in Economics
HomeAboutSeriesSubject/JEL codesAdvanced Search
The Economic Research Institute, Stockholm School of Economics SSE/EFI Working Paper Series in Economics and Finance

No 79:
Parameter Estimation and Reverse Martingales

Tomas Björk () and Bjorn Johansson

Abstract: Within the framework of transitive sufficient processes we investigate identifiability properties of unknown parameters. In particular we consider unbiased parameter estimators, which are shown to be closely connected to time reversal and to reverse martingales. One of the main results is that, within our framework, every unbiased estimator process is a reverse martingale, thus automatically giving us strong consistency results. We also study structural properties of unbiased estimators, and it is shown that the existence of an unbiased parameter estimator is equivalent to the existence of a solution to an inverse boundary value problem. We give explicit representation formulas for the estimators in terms of Feynman-Kac type representations using complex valued diffusions, and we also give Cramér-Rao bounds for the estimation error.

Keywords: Parameter estimation; time reversal; martingale theory; (follow links to similar papers)

JEL-Codes: C13; (follow links to similar papers)

33 pages, October 1995

Before downloading any of the electronic versions below you should read our statement on copyright.
Download GhostScript for viewing Postscript files and the Acrobat Reader for viewing and printing pdf files.

Full text versions of the paper:

hastef0079.pdf    PDF-file (236kB) 
Download Statistics
This paper is published as:
Björk, Tomas and Björn Johansson, (1996), 'Parameter Estimation and Reverse Martingales', Stochastic Processes and their Applications, Vol. 63, pages 235-263



Questions (including download problems) about the papers in this series should be directed to Helena Lundin ()
Report other problems with accessing this service to Sune Karlsson () or Helena Lundin ().

Programing by
Design by Joachim Ekebom

Handle: RePEc:hhs:hastef:0079 This page was generated on 2014-12-14 19:22:50