Asymptotic normality of discretized maximum likelihood estimator for drift parameter in homogeneous diffusion model

Kostiantyn Ralchenko

Abstract


We prove the asymptotic normality of the discretized maximum likelihood estimator
for the drift parameter in the homogeneous ergodic diffusion model.


Keywords


Stochastic differential equation; drift parameter; discretized model; asymptotic normality

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References


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DOI: http://dx.doi.org/10.15559/15-VMSTA21

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