Asymptotic analysis of estimators of ergodic stochastic differential equations

Arnab Ganguly

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arXiv · 2411.03623

Asymptotic analysis of estimators of ergodic stochastic differential equations

Arnab Ganguly

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Abstract

The paper studies asymptotic properties of estimators of multidimensional stochastic differential equations driven by Brownian motions from high-frequency discrete data. Consistency and central limit properties of a class of estimators of the diffusion parameter and an approximate maximum likelihood estimator of the drift parameter based on a discretized likelihood function have been established in a suitable scaling regime involving the time-gap between the observations and the overall time span. Our framework is more general than that typically considered in the literature and, thus, has the potential to be applicable to a wider range of stochastic models.

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BibTeX RIS

Arnab Ganguly. 2024-11-06. Asymptotic analysis of estimators of ergodic stochastic differential equations. https://arxiv.org/abs/2411.03623

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