Sharp error estimate for maximum likelihood estimator of nonstationary diffusion processes

DOI10.1007/s10114-004-0371-xzbMath1078.62088OpenAlexW2029864699MaRDI QIDQ2581152

Zhiyan Xu, Wei An Zheng

Publication date: 9 January 2006

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-004-0371-x

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Cites Work

• Large deviations inequalities for the maximum likelihood estimator and the Bayes estimators in nonlinear stochastic differential equations
• Sharp bounds for transition probability densities of a class of diffusions

This page was built for publication: Sharp error estimate for maximum likelihood estimator of nonstationary diffusion processes