Title of article
Estimation of parameters of linear homogeneous stochastic differential equations
Author/Authors
Jankunas، نويسنده , , Andrius and Khasminskii، نويسنده , , Rafail Z.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1997
Pages
15
From page
205
To page
219
Abstract
In this paper we investigate the problem of parametric estimation for multidimensional linear autonomous homogeneous stochastic differential equations. We prove the Local Asymptotical Normality (LAN) property, find the Maximum Likelihood Estimator (MLE), and prove an asymptotical efficiency of MLE for bounded loss functions, when the observation time tends to infinity.
Keywords
Maximum likelihood estimator , Linear stochastic differential equations , Asymptotically efficient estimator , Local asymptotic normality
Journal title
Stochastic Processes and their Applications
Serial Year
1997
Journal title
Stochastic Processes and their Applications
Record number
1576190
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