Standard maximum likelihood drift parameter estimator in the homogeneous diffusion model is always strongly consistent

Yuliya Mishura

Statistics & Probability Letters, 2014, vol. 86, issue C, 24-29

Abstract: We consider the homogeneous stochastic differential equation with unknown parameter to be estimated. We prove that the standard maximum likelihood estimate is strongly consistent under very mild conditions. The conditions for strong consistency of the discretized estimator are established as well.

Keywords: Stochastic differential equation with homogeneous coefficients; Drift parameter; Strong consistency; Discretized model (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.spl.2013.12.004

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