Estimation of parameters of linear homogeneous stochastic differential equations
asymptotic efficiencylinear stochastic differential equationslocal asymptotic normalitymaximum likelihood estimators
Probability theory on linear topological spaces (60B11) Functional limit theorems; invariance principles (60F17) Stationary stochastic processes (60G10) Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes (62M99)
The authors investigate the problem of parametric estimation for multidimensional linear homogeneous differential equations of the form \(dX_t = AX_tdt + \sigma (X_t)dW_t.\) The estimation of the unknown parameter matrix \(A\) using the observations \(X^{(T)}\) of the process \(X_t\), \(0\leq t \leq T\), is considered. They prove the local asymptotic normality property, find the maximum likelihood estimator and prove its asymptotic efficiency for bounded loss functions, when the observation time tends to infinity.
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