Asymptotic normality of discretized maximum likelihood estimator for drift parameter in homogeneous diffusion model
arXiv:1506.01810 · doi:10.15559/15-VMSTA21
Abstract
We prove the asymptotic normality of the discretized maximum likelihood estimator for the drift parameter in the homogeneous ergodic diffusion model.
Published at http://dx.doi.org/10.15559/15-VMSTA21 in the Modern Stochastics: Theory and Applications (https://www.i-journals.org/vtxpp/VMSTA) by VTeX (http://www.vtex.lt/)