Asymptotic properties of MLE for partially observed fractional diffusion system with dependent noises

作者：Brouste Alexandre^*

来源：Journal of Statistical Planning and Inference, 2010, 140(2): 551-558.

DOI：10.1016/j.jspi.2009.08.001

• Maximum likelihood estimation
• Partially observed diffusion process
• Continuous-time observations

The paper studies long time asymptotic properties of the maximum likelihood estimator (MILE) 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].

• 出版日期2010-2