Diffusions with measurement errors. II. Optimal estimators
ESAIM: Probability and Statistics, Tome 5 (2001), pp. 243-260.

We consider a diffusion process X which is observed at times i/n for i=0,1,...,n, each observation being subject to a measurement error. All errors are independent and centered gaussian with known variance ρn. There is an unknown parameter to estimate within the diffusion coefficient. In this second paper we construct estimators which are asymptotically optimal when the process X is a gaussian martingale, and we conjecture that they are also optimal in the general case.

Classification : 60J60, 62F12, 62M05
Mots-clés : statistics of diffusions, measurement errors, LAN property 
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     title = {Diffusions with measurement errors. {II.} {Optimal} estimators},
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Gloter, Arnaud; Jacod, Jean. Diffusions with measurement errors. II. Optimal estimators. ESAIM: Probability and Statistics, Tome 5 (2001), pp. 243-260. https://numdam.org/item/PS_2001__5__243_0/

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