The consistency of a non-linear least squares estimator from diffusion processes

R. A. Kasonga

Stochastic Processes and their Applications, 1988, vol. 30, issue 2, 263-275

Abstract: Consider the following Itô stochastic differential equation dX(t) = [latin small letter f with hook]([theta]0, X(t)) dt + dW(t), where (W(t), t [greater-or-equal, slanted] 0), is a standard Wiener process in RN. On the basis of discrete data 0 = t0

Keywords: consistency; least; squares; estimator; diffusion; stochastic; differential; equation; discrete; data; continuous; data; stationary; process (search for similar items in EconPapers)
Date: 1988
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Citations: View citations in EconPapers (4)

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