Almost sure asymptotic likelihood theory for diffusion processes-Reference-Cited by-同舟云学术

Almost sure asymptotic likelihood theory for diffusion processes

Published:1977-09 Issue:3 Volume:14 Page:527-537
ISSN:0021-9002
Container-title:Journal of Applied Probability
language:en
Short-container-title:Journal of Applied Probability

Author:

Lee T. S.,Kozin F.

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.

Publisher

Cambridge University Press (CUP)

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

Reference9 articles.

1. Martingale convergence to infinitely divisible laws with finite variances

2. Asymptotic likelihood theory for diffusion processes

3. Ergodic Properties of Recurrent Diffusion Processes and Stabilization of the Solution to the Cauchy Problem for Parabolic Equations

Cited by 16 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Reinforcement Learning for Adaptive Optimal Stationary Control of Linear Stochastic Systems;IEEE Transactions on Automatic Control;2023-04

2. Estimation: Method of Sieves;Wiley StatsRef: Statistics Reference Online;2014-09-29

3. Estimation: Method of Sieves;Encyclopedia of Statistical Sciences;2006-08-15

4. Recursive identification in continuous-time stochastic processes;Stochastic Processes and their Applications;1994-02

5. Maximum-likelihood approach in parametric identification of stochastic differential models of engineering systems;Structural Safety;1990-07