Uniform law of large numbers and consistency of estimators for Harris diffusions

DOI10.1016/J.SPL.2005.04.056MaRDI QIDQ2573258zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 7 November 2005

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

Full work available at URL https://doi.org/10.1016/j.spl.2005.04.056

zbMATH Keywords

Maximum likelihood estimator

Mathematics Subject Classification ID

Large deviations (60F10) Sample path properties (60G17) Pattern recognition, speech recognition (68T10) Neural networks for/in biological studies, artificial life and related topics (92B20)

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Cites work

• A Note on Consistent Estimation of Multivariate Parameters in Ergodic Diffusion Models
• A note on limit theorems for multivariate martingales
• Estimation of parameters of linear homogeneous stochastic differential equations
• scientific article; zbMATH DE number 3653342 (Why is no real title available?)
• scientific article; zbMATH DE number 3701980 (Why is no real title available?)
• scientific article; zbMATH DE number 635670 (Why is no real title available?)
• Maximum likelihood estimation for continuous-time stochastic processes
• On a problem of statistical inference in null recurrent diffusions
• On uniform laws of large numbers for ergodic diffusions and consistency of estimators
• Uniform iterated logarithm laws for martingales and their application to functional estimation in controlled Markov chains.
• Weak convergence and empirical processes. With applications to statistics

Cited in

(5)

• Conditional tail probabilities in continuous-time martingale LLN with application to parameter estimation in diffusions
• On uniform laws of large numbers for ergodic diffusions and consistency of estimators
• Jump filtering and efficient drift estimation for Lévy-driven SDEs
• On the rate of convergence of the maximum likelihood estimator in Brownian semimartingale models
• Deterministic equivalents of additive functionals of recurrent diffusions and drift estimation

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