Nonconsistent estimation by diffusion type observations

Yu. A. Kutoyants

Statistics & Probability Letters, 1994, vol. 20, issue 1, 1-7

Abstract: We consider the properties of the maximum likelihood, Bayes and minimum distance estimates of the finite-dimensional parameter constructed by the observations of the process of diffusion type with the small coefficient of diffusion in the situation when the trend coefficients corresponding to the different values of the parameter are the same and the consistent estimation is impossible. It is proved that these estimates converge to the different random variables.

Keywords: Diffusion; process; Parameter; estimation; Nonconsistency (search for similar items in EconPapers)
Date: 1994
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