Standard maximum likelihood drift parameter estimator in the homogeneous diffusion model is always strongly consistent

DOI10.1016/J.SPL.2013.12.004zbMATH Open1331.62116arXiv1306.1296OpenAlexW2090643358MaRDI QIDQ2452771FDOQ2452771

Authors: Yuliya S. Mishura 

Publication date: 5 June 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: We consider the homogeneous stochastic differential equation with unknown parameter to be estimated. We prove that the standard maximum likelihood estimate is strongly consistent under very mild conditions. There are also established the conditions for strong consistency of the discretized estimator.

Full work available at URL: https://arxiv.org/abs/1306.1296

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zbMATH Keywords

strong consistencydrift parameterdiscretized modelstochastic differential equation with homogeneous coefficients

Mathematics Subject Classification ID

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

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Cited In (11)

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• Consistent estimation of drift parameter in diffusion model with misspecified volatility function
• A Note on Consistent Estimation of Multivariate Parameters in Ergodic Diffusion Models
• Remark on semigroup techniques and the maximum likelihood estimation.
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• Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)
• Asymptotic normality of estimators for all parameters in the Vasicek model by discrete observations
• Asymptotic normality of discretized maximum likelihood estimator for drift parameter in homogeneous diffusion model
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• Maximum likelihood drift estimation for a threshold diffusion
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