Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1151889 | Statistics & Probability Letters | 2014 | 6 Pages |
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. The conditions for strong consistency of the discretized estimator are established as well.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Yuliya Mishura,