1980•Series StatisticsRequires access

Consistency, asymptotic normality and asymptotic efficiency of the maximum-likelihood-estimator in linear stochastic differential equations

Bärbel Bellach

Abstract

In this paper the consistency of the Maximum-Likelihood-Estimator of the unknown system parameter of a inhomogeneous stochastic differential equation system with constant coefficients is proved. Sufficient conditions are given for the asymptotic normality and asymptotic efficiency of the MLE in the stable case.

About this research paper

What this paper is about

Why it matters

OpenAlex reports 5 citations for this work. Citation counts describe recorded attention and do not establish research quality.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

Key concepts: Asymptotic distribution, Mathematics, Consistency (knowledge bases), Estimator, Applied mathematics, Local asymptotic normality, Stochastic differential equation, Strong consistency