Michael SØRENSEN - Abstract
Michael SØRENSEN - Abstract![](/fr/seminaires-conferences/archives/workshop/workshop-s-a-p-s-v-6-8-janvier-2005-1/workshop-s-a-p-s-v-6-8-janvier-2005/michael-s-rensen-abstract/_attachment/image-header.jpg)
PREDICTION-BASED ESTIMATING FUNCTIONS FOR INTEGRATED DIFFUSIONS, STOCHASTIC DELAY DIFFERENTIAL EQUATIONS AND DIFFUSION COMPARTMENT MODELS
Michael SØRENSEN
University of Copenhagen
Copenhagen, Danemark
ABSTRACT
The prediction-based estimating functions generalize the martingale estimating functions. They are useful for statistical inference concerning non-Markovian stochastic process models, where there are typically no easily calculated martingales that can be used to construct a class of martingale estimating functions. Applications to statistical inference for integrated diffusions, stochastic delay differential equations and diffusion compartment models will be presented.