Estimators of diffusions with randomly spaced discrete observations: A general theory
随机间隔离散观测下扩散过程估计量的一般理论
We provide a general method to analyze the asymptotic properties of a variety of estimators of continuous time diffusion processes when the data are not only discretely sampled in time but the time separating successive observations may possibly be random. We introduce a new operator, the generalized infinitesimal generator, to obtain Taylor expansions of the asymptotic moments of the estimators. As a special case, our results apply to the situation where the data are…