Standard maximum likelihood drift parameter estimator in the homogeneous diffusion model is always strongly consistent
Probability
2013-06-07 v1
Abstract
We consider the homogeneous stochastic differential equation with unknown parameter to be estimated. We prove that the standard maximum likelihood estimate is strongly consistent under very mild conditions. There are also established the conditions for strong consistency of the discretized estimator.
Cite
@article{arxiv.1306.1296,
title = {Standard maximum likelihood drift parameter estimator in the homogeneous diffusion model is always strongly consistent},
author = {Yuliya Mishura},
journal= {arXiv preprint arXiv:1306.1296},
year = {2013}
}