Asymptotic behavior of maximum likelihood estimator for time inhomogeneous diffusion processes

DOI10.1016/j.jspi.2009.12.016zbMath1185.62147arXiv0810.2688OpenAlexW2963639598MaRDI QIDQ2270284

Mátyás Barczy, Gyula Pap

Publication date: 18 March 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0810.2688

zbMATH Keywords

maximum likelihood estimator for inhomogeneous diffusionsperturbed drift

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

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Cites Work

• Asymptotic optimal inference for non-ergodic models
• On contiguity of probability measures corresponding to semimartingales
• Local asymptotic mixed normality for semimartingale experiments
• Large deviations inequalities for the maximum likelihood estimator and the Bayes estimators in nonlinear stochastic differential equations
• Asymptotic inference for semimartingale models with singular parameter points
• Statistical inference for ergodic diffusion processes.
• A multivariate central limit theorem for continuous local martingales
• Maximum likelihood estimation for continuous-time stochastic processes
• Asymptotic Statistics
• Parameter estimation for some non-recurrent solutions of SDE
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