Estimation of parameters of linear homogeneous stochastic differential equations

DOI10.1016/S0304-4149(97)00083-5zbMath0933.62099MaRDI QIDQ1965895

Andrius Jankunas, Rafail Z. Khasminskii

Publication date: 1 March 2000

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

asymptotic efficiencylocal asymptotic normalitymaximum likelihood estimatorslinear stochastic differential equations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes (62M99) Functional limit theorems; invariance principles (60F17) Probability theory on linear topological spaces (60B11)

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