Almost sure asymptotic likelihood theory for diffusion processes
- 1 September 1977
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 14 (3) , 527-537
- https://doi.org/10.2307/3213455
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
This publication has 7 references indexed in Scilit:
- Asymptotic likelihood theory for diffusion processesJournal of Applied Probability, 1975
- Asymptotic likelihood theory for diffusion processesJournal of Applied Probability, 1975
- Absolute Continuity and Radon-Nikodym Derivatives for Certain Measures Relative to Wiener MeasureThe Annals of Mathematical Statistics, 1971
- Martingale convergence to infinitely divisible laws with finite variancesTransactions of the American Mathematical Society, 1971
- Evaluation of likelihood functionsInformation and Control, 1968
- Liapunov criteria for weak stochastic stabilityJournal of Differential Equations, 1966
- Ergodic Properties of Recurrent Diffusion Processes and Stabilization of the Solution to the Cauchy Problem for Parabolic EquationsTheory of Probability and Its Applications, 1960