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

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. The conditions for strong consistency of the discretized estimator are established as well.

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Year of publication:	2014
Authors:	Mishura, Yuliya
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 86.2014, C, p. 24-29
Publisher:	Elsevier
Subject:	Stochastic differential equation with homogeneous coefficients \| Drift parameter \| Strong consistency \| Discretized model

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010743574