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

DOI10.1016/J.SPL.2013.12.004MaRDI QIDQ2452771zbMATH OpenOpenAlexFDO

Authors Yuliya S. Mishura

Publication date 5 June 2014

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

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

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)

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.

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Cited in

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• Consistent estimation of drift parameter in diffusion model with misspecified volatility function
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