Maximum likelihood estimator for the drift of a Brownian flow

DOI<23::AID-ASMB377>3.0.CO;2-3 10.1002/(SICI)1526-4025(200001/03)16:1<23::AID-ASMB377>3.0.CO;2-3zbMath0972.62065OpenAlexW2312057258MaRDI QIDQ2756665

Mine Caglar

Publication date: 18 November 2001

Full work available at URL: https://doi.org/10.1002/(sici)1526-4025(200001/03)16:1<23::aid-asmb377>3.0.co;2-3

zbMATH Keywords

maximum likelihood estimationcovariancedriftBrownian flowsfunctions approximation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Brownian motion (60J65)

Cites Work

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• From functional theoretic method to analysis, applications and computation
• Statistical Models for Birth and Death on a Flow: Local Absolute Continuity and Likelihood Ratio Processes
• On Maximum Likelihood Estimation in Randomly Stopped Diffusion-Type Processes

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