Asymptotic distributions for estimated expected functionals of general random elements

Abstract

We consider an estimation problem of expected functionals of a general random element that values in a metric space. If the functional forms an explicit function of some unknown parameters, we can estimate it by plugging-in a suitable estimator in to the function, and we can find the asymptotic distribution. However, if the functional is implicit in the parameters, it causes a problem of specifying asymptotic distribution. This paper gives a general condition to specify the asymptotic distribution even if the functional is implicit in the parameters, and further investigates it in detail when the random elements are semimartingales.