On the rate of convergence of the maximum likelihood estimator in Brownian semimartingale models

DOI10.3150/BJ/1126126763zbMATH Open1092.62079OpenAlexW2152771322MaRDI QIDQ2496940FDOQ2496940

Authors: Harry van Zanten 

Publication date: 26 July 2006

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/bj/1126126763

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• scientific article; zbMATH DE number 2118867

zbMATH Keywords

entropymaximum likelihood estimationrate of convergenceM-estimatorsexponential inequalitiescontinuous semimartingaleergodic diffusionsuniform exponential inequality

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Brownian motion (60J65) Generalizations of martingales (60G48)

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Cited In (5)

• Almost sure rate of convergence of maximum likelihood estimators for multidimensional diffusions
• Convergence rates of posterior distributions for Brownian semimartingale models
• Uniform deterministic equivalent of additive functionals and non-parametric drift estimation for one-dimensional recurrent diffusions
• Deterministic equivalents of additive functionals of recurrent diffusions and drift estimation
• Title not available (Why is that?)

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