Asymptotic properties of MLE for partially observed fractional diffusion system with dependent noises |
| |
Authors: | Alexandre Brouste |
| |
Institution: | Université du Maine, Département de Mathématiques, Avenue Olivier Messiaen, 72000 LE MANS Cedex 9, France |
| |
Abstract: | 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 with dependent noise. Using the method of weak convergence of likelihoods due to Ibragimov and Khasminskii 1981. Statistics of Random Processes. Springer, New-York], consistency, asymptotic normality and convergence of the moments are established for MLE. The proof is based on Laplace transform computations which was introduced in Brouste and Kleptsyna 2008. Asymptotic properties of MLE for partially observed fractional diffusion system, preprint]. |
| |
Keywords: | Maximum likelihood estimation Partially observed diffusion process Continuous-time observations |
本文献已被 ScienceDirect 等数据库收录! |
|