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On Time-Reversibility and Estimating Functions for Markov Processes |
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| Authors: | Kessler Mathieu Sørensen Michael |
| Institution: | (1) Departamento de Matemática Aplicada, Universidad Politécnica de Cartagena, Paseo Alfonso XIII, 30203 Cartagena, Spain;(2) Department of Applied Mathematics and Statistics, University of Copenhagen, Universitetsparken 5, DK-2100 Copenhagen Ø, Denmark |
| Abstract: | The time-reversibility of a Markov process implies a particular structure of the score function. It is explored which martingale estimating functions and other unbiased estimating functions have a similar structure. This leads to an estimating function with a semiparametric efficiency property. Also relations to martingale estimating functions based on eigenfunctions of the infinitesimal generator are found. |
| Keywords: | diffusion processes discretely sampled continuous time Markov models martingale estimating functions the Poisson equation quasi-likelihood semiparametric models |
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