On Maximum Likelihood Estimation in Randomly Stopped Diffusion-Type Processes
type: Item
instance of: scholarly article
title: On Maximum Likelihood Estimation in Randomly Stopped Diffusion-Type Processes
zbMATH Open document ID: 0509.62075
DOI: 10.2307/1402735
author: Michael Sørensen
published in: International Statistical Review / Revue Internationale de Statistique
publication date: 1983-01-01T00:00:00Z
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 62L12
Mathematics Subject Classification ID: 60G40
zbMATH DE Number: 3804706
zbMATH Keywords: randomly stopped diffusion-type processes
zbMATH Keywords: curved exponential family
zbMATH Keywords: consistency
zbMATH Keywords: asymptotic normality
zbMATH Keywords: affine ancillary
zbMATH Keywords: Fisher information
zbMATH Keywords: geometric Brownian motion
zbMATH Keywords: intrinsic time
zbMATH Keywords: Radon-Nikodym derivatives
zbMATH Keywords: sequential maximum likelihood estimation
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: review
zbMATH Keywords: continuously observed processes
zbMATH Keywords: survey
zbMATH Keywords: new results
MaRDI profile type: MaRDI publication profile
full work available at URL: https://doi.org/10.2307/1402735
OpenAlex ID: W2313319246
description: scientific article; zbMATH DE number 3804706