Estimation for diffusion processes under misspecified models

DOI10.2307/3213613MaRDI QIDQ3218962zbMATH OpenOpenAlexFDO

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

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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