Asymptotic normality of discretized maximum likelihood estimator for drift parameter in homogeneous diffusion model
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Publication:340755
DOI10.15559/15-VMSTA21zbMath1349.62072arXiv1506.01810MaRDI QIDQ340755
Publication date: 15 November 2016
Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1506.01810
Asymptotic properties of parametric estimators (62F12) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)
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Cites Work
- Estimation of diffusion parameters for discretely observed diffusion processes
- Estimation for diffusion processes from discrete observation
- Quasi-likelihood and its application. A general approach to optimal parameter estimation
- Statistical inference for ergodic diffusion processes.
- Standard maximum likelihood drift parameter estimator in the homogeneous diffusion model is always strongly consistent
- Estimation of the coefficients of a diffusion from discrete observations
- Statistical Methods for Stochastic Differential Equations
- Approximate discrete-time schemes for statistics of diffusion processes
- Parametric Inference for Discretely Sampled Stochastic Differential Equations
- Estimation for the discretely observed telegraph process
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