Article ID Journal Published Year Pages File Type
1156786 Stochastic Processes and their Applications 2012 40 Pages PDF
Abstract

We consider adaptive maximum likelihood type estimation of both drift and diffusion coefficient parameters for an ergodic diffusion process based on discrete observations. Two kinds of adaptive maximum likelihood type estimators are proposed and asymptotic properties of the adaptive estimators, including convergence of moments, are obtained.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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