Asymptotically Optimal Estimator of the Parameter of Semi-Linear Autoregression

Dmytro Ivanenko

The difference equations ${\xi }_k=af({\xi }_{k-1})+{\epsilon }_k$, where $({\epsilon }_k)$ is a square integrable difference martingale, and the differential equation $\mathrm{d}\xi =-af(\xi )\mathrm{d}t+\mathrm{d}\eta$, wh…