Asymptotic theory of semiparametric Z-estimators for stochastic processes with applications to ergodic diffusions and time series
随机过程半参数Z估计量的渐近理论：遍历扩散与时间序列应用
This paper generalizes a part of the theory of Z-estimation which has been developed mainly in the context of modern empirical processes to the case of stochastic processes, typically, semimartingales. We present a general theorem to derive the asymptotic behavior of the solution to an estimating equation θ↝Ψn(θ, ĥn)=0 with an abstract nuisance parameter h when the compensator of Ψn is random. As its application, we consider the estimation problem in an ergodic diffusion…