Asymptotic normality of discretized maximum likelihood estimator for drift parameter in homogeneous diffusion model
Volume 2, Issue 1 (2015), pp. 17–28
Pub. online: 13 April 2015
Type: Research Article
Open Access
Received
17 March 2015
17 March 2015
Revised
4 April 2015
4 April 2015
Accepted
5 April 2015
5 April 2015
Published
13 April 2015
13 April 2015
Abstract
We prove the asymptotic normality of the discretized maximum likelihood estimator for the drift parameter in the homogeneous ergodic diffusion model.
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