Asymptotic normality of discretized maximum likelihood estimator for drift parameter in homogeneous diffusion model
Probability
2015-06-08 v1
Abstract
We prove the asymptotic normality of the discretized maximum likelihood estimator for the drift parameter in the homogeneous ergodic diffusion model.
Keywords
Cite
@article{arxiv.1506.01810,
title = {Asymptotic normality of discretized maximum likelihood estimator for drift parameter in homogeneous diffusion model},
author = {Kostiantyn Ralchenko},
journal= {arXiv preprint arXiv:1506.01810},
year = {2015}
}
Comments
Published at http://dx.doi.org/10.15559/15-VMSTA21 in the Modern Stochastics: Theory and Applications (https://www.i-journals.org/vtxpp/VMSTA) by VTeX (http://www.vtex.lt/)