On minimum-contrast estimation for hilbert space-valued stochastic differential equations

1 March 1986

journal article
research article
Published by Taylor & Francis in Stochastics

Vol. 16 (3-4) , 217-225
https://doi.org/10.1080/17442508608833374

Abstract

In this note a family of minimum contrast functions is introduced for estimating a real parameter appearing in a linear, stationary stochastic differential equation assuming values in a real and separable Hilbert space. It is proved that the corresponding minimum contrast estimate based on a noise free, direct, time continuous measurement of sample path is asymptotically consistent and has an asymptotic normal distribution.

Keywords

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