Asymptotic properties of MLE for partially observed fractional diffusion system with dependent noises |
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Authors: | Alexandre Brouste |
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Affiliation: | Université du Maine, Département de Mathématiques, Avenue Olivier Messiaen, 72000 LE MANS Cedex 9, France |
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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]. |
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Keywords: | Maximum likelihood estimation Partially observed diffusion process Continuous-time observations |
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