Remark on semigroup techniques and the maximum likelihood estimation

Loukianova Daria

Statistics & Probability Letters, 2003, vol. 62, issue 2, 111-115

Abstract: Using a simple semigroup argument we show the almost sure convergence of the maximum likelihood estimator (MLE) for a drift parameter of diffusions given by dXt=dBt-[backward difference]U([theta],Xt) dt. The unknown parameter [theta] here belongs to an arbitrary compact metric space.

Keywords: Diffusion; Semigroups; Maximum; likelihood; estimator (search for similar items in EconPapers)
Date: 2003
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(02)00431-5
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:62:y:2003:i:2:p:111-115

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().