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Asymptotic normality of discretized maximum likelihood estimator for drift parameter in homogeneous diffusion model
Volume 2, Issue 1 (2015), pp. 17–28
Kostiantyn Ralchenko  

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https://doi.org/10.15559/15-VMSTA21
Pub. online: 13 April 2015      Type: Research Article      Open accessOpen Access

Received
17 March 2015
Revised
4 April 2015
Accepted
5 April 2015
Published
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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Keywords
Stochastic differential equation drift parameter discretized model asymptotic normality

MSC2010
62F12 60H10 60J60

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