Asymptotic behavior of maximum likelihood estimator for time inhomogeneous diffusion processes
نویسندگان
چکیده
منابع مشابه
Asymptotic behavior of maximum likelihood estimator for time inhomogeneous diffusion processes
First we consider a process (X (α) t )t∈[0,T ) given by a SDE dX (α) t = αb(t)X (α) t dt + σ(t) dBt, t ∈ [0, T ), with a parameter α ∈ R, where T ∈ (0,∞] and (Bt)t∈[0,T ) is a standard Wiener process. We study asymptotic behavior of the MLE α̂ (X(α)) t of α based on the observation (X (α) s )s∈[0, t] as t ↑ T . We formulate sufficient conditions under which √ IX(α)(t) ( α̂ (X(α)) t −α ) converges...
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ژورنال
عنوان ژورنال: Journal of Statistical Planning and Inference
سال: 2010
ISSN: 0378-3758
DOI: 10.1016/j.jspi.2009.12.016