A Note on Consistent Estimation of Multivariate Parameters in Ergodic Diffusion Models

DOI10.1111/1467-9469.00258zbMath1010.62075OpenAlexW2140085752MaRDI QIDQ4781090

J. H. van Zanten

Publication date: 21 November 2002

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9469.00258

zbMATH Keywords

entropymaximum likelihood estimationempirical process methodcontinuous likelihood

Mathematics Subject Classification ID

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

Related Items (5)

Hyperparameter estimation in Bayesian MAP estimation: parameterizations and consistency ⋮ On the rate of convergence of the maximum likelihood estimator in Brownian semimartingale models ⋮ Maximum likelihood drift estimation for multiscale diffusions ⋮ On Empirical Processes for Ergodic Diffusions and Rates of Convergence of M‐estimators ⋮ Uniform law of large numbers and consistency of estimators for Harris diffusions

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