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Estimation for diffusion processes under misspecified models

Published online by Cambridge University Press:  14 July 2016

Ian W. McKeague
Ian W. McKeague*
Affiliation:
The Florida State University
*
∗Postal address: Department of Statistics and Statistical Consulting Center, The Florida State University, Tallahassee, FL 32306, U.S.A.
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Abstract

The asymptotic behavior of the maximum likelihood estimator of a parameter in the drift term of a stationary ergodic diffusion process is studied under conditions in which the true drift function and true noise function do not coincide with those specified by the parametric model.

Keywords

STOCHASTIC DIFFERENTIAL EQUATIONSMAXIMUM LIKELIHOOD ESTIMATIONROBUSTNESSASYMPTOTIC NORMALITY

Information

Type
Research Papers
Information
Journal of Applied Probability , Volume 21 , Issue 3 , September 1984 , pp. 511 - 520
Copyright
Copyright © Applied Probability Trust 1984 

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References

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