Asymptotic likelihood theory for diffusion processes

1 June 1975

journal article
Published by Cambridge University Press (CUP) in Journal of Applied Probability

Vol. 12 (2) , 228-238
https://doi.org/10.2307/3212436

Abstract

We investigate the large-sample behaviour of maximum likelihood estimates (MLE's) of the parameters of a diffusion process, which is observed throughout continuous time. The results (limit normal distribution for the MLE and an asymptotic chi-squared likelihood ratio test) correspond exactly to classical asymptotic likelihood results, and follow easily from a central limit theorem for stochastic integrals.

Keywords

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