Introduction

Abstract

This monograph is primarily concerned with parameter estimation for a random process X _t taking values in r-dimensional Euclidean space. The distribution of X _t depends on a characteristic θ taking values in a open subset Θ of p-dimensional Euclidean space. The framework may be parametric or semiparametric; θ may be, for example, the mean of a stationary process. The object will be the “efficient” estimation of θ based on a sample X _t , t ∈ T.