Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156786 | Stochastic Processes and their Applications | 2012 | 40 Pages |
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)
Authors
Masayuki Uchida, Nakahiro Yoshida,