Asymptotic normality of discretized maximum likelihood estimator for drift parameter in homogeneous diffusion model

DOI10.15559/15-VMSTA21zbMATH Open1349.62072arXiv1506.01810MaRDI QIDQ340755FDOQ340755

Authors: K. V. Ral'chenko 

Publication date: 15 November 2016

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Abstract: We prove the asymptotic normality of the discretized maximum likelihood estimator for the drift parameter in the homogeneous ergodic diffusion model.

Full work available at URL: https://arxiv.org/abs/1506.01810

zbMATH Keywords

asymptotic normalitystochastic differential equationdrift parameterdiscretized model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• Quasi-likelihood and its application. A general approach to optimal parameter estimation
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• Estimation for diffusion processes from discrete observation
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• Statistical Methods for Stochastic Differential Equations
• Standard maximum likelihood drift parameter estimator in the homogeneous diffusion model is always strongly consistent
• Parametric Inference for Discretely Sampled Stochastic Differential Equations
• Estimation of diffusion parameters for discretely observed diffusion processes

Cited In (1)

• Adaptive control of diffusion processes with a discounted reward criterion

Uses Software

• sde

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