Title: Consistency, asymptotic normality and asymptotic efficiency of the maximum-likelihood-estimator in linear stochastic differential equations
Abstract:In this paper the consistency of the Maximum-Likelihood-Estimator of the unknown system parameter of a inhomogeneous stochastic differential equation system with constant coefficients is proved. Suffi...In this paper the consistency of the Maximum-Likelihood-Estimator of the unknown system parameter of a inhomogeneous stochastic differential equation system with constant coefficients is proved. Sufficient conditions are given for the asymptotic normality and asymptotic efficiency of the MLE in the stable case.Read More
Publication Year: 1980
Publication Date: 1980-01-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 5
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