Uniform law of large numbers and consistency of estimators for Harris diffusions

DOI10.1016/j.spl.2005.04.056zbMath1079.60511OpenAlexW2035892529MaRDI QIDQ2573258

Yanyan Li

Publication date: 7 November 2005

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

Full work available at URL: https://doi.org/10.1016/j.spl.2005.04.056

zbMATH Keywords

Maximum likelihood estimator

Mathematics Subject Classification ID

Neural networks for/in biological studies, artificial life and related topics (92B20) Pattern recognition, speech recognition (68T10) Large deviations (60F10) Sample path properties (60G17)

Related Items (3)

Jump filtering and efficient drift estimation for Lévy-driven SDEs ⋮ Deterministic equivalents of additive functionals of recurrent diffusions and drift estimation ⋮ On the rate of convergence of the maximum likelihood estimator in Brownian semimartingale models

Cites Work

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• A note on limit theorems for multivariate martingales
• On uniform laws of large numbers for ergodic diffusions and consistency of estimators
• On a problem of statistical inference in null recurrent diffusions
• Uniform iterated logarithm laws for martingales and their application to functional estimation in controlled Markov chains.
• Weak convergence and empirical processes. With applications to statistics
• Estimation of parameters of linear homogeneous stochastic differential equations
• Maximum likelihood estimation for continuous-time stochastic processes
• A Note on Consistent Estimation of Multivariate Parameters in Ergodic Diffusion Models

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