Consistency, asymptotic normality and asymptotic efficiency of the maximum-likelihood-estimator in linear stochastic differential equations

DOI10.1080/02331888008801538zbMath0455.62066OpenAlexW1997517293MaRDI QIDQ3903912

Bärbel Bellach

Publication date: 1980

Published in: Series Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888008801538

zbMATH Keywords

consistencyasymptotic normalityasymptotic efficiencyIto equationlinear stochastic differential equationsmaximum- likelihood-estimator

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Eigenvalues, singular values, and eigenvectors (15A18)

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