Parameter estimation in continuous-time stochastic processes

1 January 1982

journal article
research article
Published by Taylor & Francis in Stochastics

Vol. 8 (3) , 193-212
https://doi.org/10.1080/17442508208833238

Abstract

Parameter estimation in a class of Ito Processes with a parametrized "drift" term is considered. An almost sure characterization of a sample path-wise limit sets of maximum likelihood estimates is given. Related problems of estimation under approximate parametrizations and estimation of a random parameter with unknown distribution are also considered.

Keywords

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