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arXiv · 1506.01810

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

Kostiantyn Ralchenko
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Abstract

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

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Kostiantyn Ralchenko. 2015-06-05. Asymptotic normality of discretized maximum likelihood estimator for drift parameter in homogeneous diffusion model. https://doi.org/10.15559/15-vmsta21

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