A Note on Consistent Estimation of Multivariate Parameters in Ergodic Diffusion Models

DOI10.1111/1467-9469.00258MaRDI QIDQ4781090zbMATH OpenOpenAlexFDO

Authors J. H. van Zanten

Publication date 21 November 2002

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9469.00258

zbMATH Keywords

entropymaximum likelihood estimationempirical process methodcontinuous likelihood

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

Recommendations

• Maximum likelihood estimation for the drift parameter in diffusion processes
• scientific article; zbMATH DE number 4130292
• Standard maximum likelihood drift parameter estimator in the homogeneous diffusion model is always strongly consistent
• Adaptive estimation of an ergodic diffusion process based on sampled data
• Estimating a class of diffusions from discrete observations via approximate maximum likelihood method

Cited in

(7)

• On the rate of convergence of the maximum likelihood estimator in Brownian semimartingale models
• Uniform law of large numbers and consistency of estimators for Harris diffusions
• Hyperparameter estimation in Bayesian MAP estimation: parameterizations and consistency
• On Empirical Processes for Ergodic Diffusions and Rates of Convergence of M‐estimators
• Maximum likelihood drift estimation for multiscale diffusions
• scientific article; zbMATH DE number 895832 (Why is no real title available?)
• scientific article; zbMATH DE number 4130292 (Why is no real title available?)

This page was built for publication: A Note on Consistent Estimation of Multivariate Parameters in Ergodic Diffusion Models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4781090)