Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1153106 | Statistics & Probability Letters | 2009 | 9 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Anis Gassem,