Estimation for Diffusion Processes under Misspecified Models.

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.

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Document Details

Document Type
Technical Report
Publication Date
Mar 01, 1983
Accession Number
ADA128799

Entities

People

  • Ian W. Mckeague

Organizations

  • Florida State University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Asymptotic Normality
  • Contrast
  • Data Science
  • Differential Equations
  • Diffusion
  • Equations
  • Ergodic Processes
  • Estimators
  • Information Science
  • Intervals
  • Markov Processes
  • Normality
  • Partial Differential Equations
  • Probability
  • Stationary
  • Statistical Analysis
  • Statistics

Fields of Study

  • Mathematics

Readers

  • Mathematical Modeling and Probability Theory.
  • Statistical inference.