Estimation of parameters of linear homogeneous stochastic differential equations

Andrius Jankunas and Rafail Z. Khasminskii

Stochastic Processes and their Applications, 1997, vol. 72, issue 2, 205-219

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: Linear; stochastic; differential; equations; Local; asymptotic; normality; Maximum; likelihood; estimator; Asymptotically; efficient; estimator (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (6)

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