Pathwise stability of likelihood estimators for diffusions via rough paths

DOI10.1214/15-AAP1143zbMath1402.62189arXiv1311.1061OpenAlexW3101478854MaRDI QIDQ341608

Hilmar Mai, Joscha Diehl, Peter K. Friz

Publication date: 16 November 2016

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.1061

zbMATH Keywords

maximum likelihood estimationrobust estimationrough paths analysis

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

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