Title of article
Adaptive estimation of an ergodic diffusion process based on sampled data
Author/Authors
Uchida، نويسنده , , Masayuki and Yoshida، نويسنده , , Nakahiro، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2012
Pages
40
From page
2885
To page
2924
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.
Keywords
stochastic differential equation , Discrete time observations , Convergence of moments , Maximum likelihood type estimator
Journal title
Stochastic Processes and their Applications
Serial Year
2012
Journal title
Stochastic Processes and their Applications
Record number
1578660
Link To Document