Nonconsistent estimation by diffusion type observations

DOI10.1016/0167-7152(94)90228-3zbMath0801.62075OpenAlexW2070355618MaRDI QIDQ1332870

Yury A. Kutoyants

Publication date: 30 November 1994

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(94)90228-3

zbMATH Keywords

asymptotic normalitydiffusion processmaximum likelihoodBayes estimatesminimum distance estimatesfinite-dimensional parameternonconsistencysmall coefficient of diffusiontrend coefficients

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

Cites Work

• Parameter estimation in continuous-time stochastic processes
• On non-consistency of estimators
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