Standard maximum likelihood drift parameter estimator in the homogeneous\n diffusion model is always strongly consistent

2013/06/06 by Yuliya Mishura, Mishura, Yuliya
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Statistical Methods and Inference #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1306.1296

openalex publication_date 2013/06/06 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We consider the homogeneous stochastic differential equation with unknown\nparameter to be estimated. We prove that the standard maximum likelihood\nestimate is strongly consistent under very mild conditions. There are also\nestablished the conditions for strong consistency of the discretized estimator.\n

Citations

• Statistics of Random Processes

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