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Annals of Statistics
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 discretely sampled at adoi:10.1214/009053604000000427 fatcat:wtxuljptlzgvdgbjpkp4lg4d4q