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Almost sure asymptotic likelihood theory for diffusion processes

Published online by Cambridge University Press:  14 July 2016

T. S. Lee  and
F. Kozin
T. S. Lee
Affiliation:
Polytechnic Institute of New York
F. Kozin
Affiliation:
Polytechnic Institute of New York
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Abstract

We consider maximum likelihood estimators for parameters of diffusion processes that are generated by nth-order Ito equations. We establish asymptotic consistency as well as convergence in distribution to normality for the estimators. Examples are presented and discussed.

Keywords

STOCHASTIC EQUATIONSITO EQUATIONSDIFFUSION PROCESSESMAXIMUM LIKELIHOOD ESTIMATORSCONSISTENT ESTIMATORSASYMPTOTIC NORMALITYRADON–NIKODYM DERIVATIVESSTATIONARITYERGODICITY
Type
Research Papers
Information
Journal of Applied Probability , Volume 14 , Issue 3 , September 1977 , pp. 527 - 537
Copyright
Copyright © Applied Probability Trust 1977 

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References

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