Article ID Journal Published Year Pages File Type
1153106 Statistics & Probability Letters 2009 9 Pages PDF
Abstract
We consider the problem of parameter estimation by the observation of ergodic diffusion process. We suppose that the unknown parameter is two-dimensional and the trend coefficient of the process is discontinuous “sign-type”. We describe the asymptotic properties of the maximum likelihood estimator, Bayesian estimator and the estimator of the method of moment in this case.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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