Consistency and asymptotic normality of maximum likelihood estimation for Gaussian Markov processes from discrete observations

DOI10.1007/BF02613898zbMath0855.62068MaRDI QIDQ1915124

Birgit Gaschler

Publication date: 11 June 1996

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/176634

zbMATH Keywords

asymptotic normality; maximum likelihood estimation; weak consistency; discrete observations; Ornstein Uhlenbeck process; asymptotic simultaneous confidence regions; independent Gaussian Markov processes

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M05: Markov processes: estimation; hidden Markov models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Simultaneous confidence regions for the parameters of damage processes
• Asymptotic normality of the maximum likelihood estimate in Markov processes
• On the measurability and consistency of minimum contrast estimates
• Note on minimum contrast estimates for Markov processes
• Estimation of the coefficients of a diffusion from discrete observations
• Approximation Theorems of Mathematical Statistics
• Approximate discrete-time schemes for statistics of diffusion processes
• Extension to Markov processes of a result by A. Wald about the consistency of the maximum likelihood estimate
• Maximnm contrast estimation for diffusion processes from discrete observations
• Heuristic Approach to the Kolmogorov-Smirnov Theorems