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Consistency, asymptotic normality and asymptotic efficiency of the maximum-likelihood-estimator in linear stochastic differential equations
Author:
B
rbel Bellach a
rbel Bellach a
| Affiliation: | a Sektion Mathematik, Humboldt-Universitt Berlin, Berlin |
DOI:
10.1080/02331888008801538
Publication Frequency:
6 issues per year
Subjects:
Mathematical Statistics;
Statistical Theory & Methods;
Statistics;
Statistics for the Biological Sciences;
Stochastic Models & Processes;
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(English)
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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. Sufficient conditions are given for the asymptotic normality and asymptotic efficiency of the MLE in the stable case.
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