Estimation for diffusion processes under misspecified models

DOI10.2307/3213613zbMATH Open0555.62067OpenAlexW4240328449MaRDI QIDQ3218962FDOQ3218962

Authors: Ian W. Mckeague 

Publication date: 1984

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3213613

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zbMATH Keywords

noiseasymptotic normalitydriftrobustnessmaximum likelihood estimatorparametric modelstandard Wiener processstationary ergodic diffusion process

Mathematics Subject Classification ID

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

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• Map estimation of diffusions -- an updated account
• Optimality of estimators for misspecified semi-Markov models
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