Figure 2.

The estimated variance of the one‐step (plus signs) and non‐linear least squares (circles) estimators ${\overline{\theta }}_n$ and ${\tilde{\theta }}_n$, respectively, based on 500 simulations with n=101 and ϵ_j∼N(0,0.05²),j=1…,n. The estimates are superimposed on the theoretical asymptotic variance (dashed line). The left plot is for ξ₀=0.5, and the right one is for ξ₀=1.