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arXiv · 1306.1296

Standard maximum likelihood drift parameter estimator in the homogeneous diffusion model is always strongly consistent

Yuliya Mishura
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Abstract

We consider the homogeneous stochastic differential equation with unknown parameter to be estimated. We prove that the standard maximum likelihood estimate is strongly consistent under very mild conditions. There are also established the conditions for strong consistency of the discretized estimator.

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Yuliya Mishura. 2013-06-06. Standard maximum likelihood drift parameter estimator in the homogeneous diffusion model is always strongly consistent. https://arxiv.org/abs/1306.1296

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