On minimum uniform metric estimate of parameters of diffusion-type processes

Yury Kutoyants and Philippe Pilibossian

Stochastic Processes and their Applications, 1994, vol. 51, issue 2, 259-267

Abstract: The problem of finite-dimensional parameter estimation for a diffusion-type process is considered. The proposed minimum distance estimate is introduced as a point where the supremum norm of the difference between the observations and the corresponding deterministic (limit) solution attains its minimum. Under some regularity conditions the consistency of this estimate is established as the diffusion coefficient tends to zero and the limit distribution is described.

Keywords: Parameter; estimation; Diffusion-type; process; Diffusion; coefficient; Limit; distribution (search for similar items in EconPapers)
Date: 1994
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