Sharp error estimate for maximum likelihood estimator of nonstationary diffusion processes

DOI10.1007/S10114-004-0371-XMaRDI QIDQ2581152zbMATH OpenOpenAlexFDO

Authors Zhiyan Xu, Weian Zheng

Publication date 9 January 2006

Published in Acta Mathematica Sinica, English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10114-004-0371-x

Mathematics Subject Classification ID

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

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Cites work

• Large deviations inequalities for the maximum likelihood estimator and the Bayes estimators in nonlinear stochastic differential equations
• Sharp bounds for transition probability densities of a class of diffusions

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