Asymptotic properties of MLE for partially observed fractional diffusion system - Archive ouverte HAL
Article Dans Une Revue Statistical Inference for Stochastic Processes Année : 2010

Asymptotic properties of MLE for partially observed fractional diffusion system

Marina Kleptsyna

Résumé

The paper studies long time asymptotic properties of the Maximum Likelihood Estimator (MLE) for the signal drift parameter in a partially observed fractional diffusion system. Using the method of weak convergence of likelihoods due to Ibragimov and Khasminskii (Statistics of random processes, 1981), consistency, asymptotic normality and convergence of the moments are established for MLE. The proof is based on Laplace transform computations.

Dates et versions

hal-01634593 , version 1 (14-11-2017)

Identifiants

Citer

Alexandre Brouste, Marina Kleptsyna. Asymptotic properties of MLE for partially observed fractional diffusion system. Statistical Inference for Stochastic Processes, 2010, 13 (1), pp.1-13. ⟨10.1007/s11203-009-9035-x⟩. ⟨hal-01634593⟩
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