Nonconsistent estimation by diffusion type observations
We consider the properties of the maximum likelihood, Bayes and minimum distance estimates of the finite-dimensional parameter constructed by the observations of the process of diffusion type with the small coefficient of diffusion in the situation when the trend coefficients corresponding to the different values of the parameter are the same and the consistent estimation is impossible. It is proved that these estimates converge to the different random variables.
Year of publication: |
1994
|
---|---|
Authors: | Kutoyants, Yu. A. |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 20.1994, 1, p. 1-7
|
Publisher: |
Elsevier |
Subject: | Diffusion process Parameter estimation Nonconsistency |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Delay estimation for some stationary diffusion-type processes
Küchler, Uwe, (1998)
-
Minimum distance estimation for diffusion random fields
Kutoyants, Yu. A., (1995)
-
Estimation par la distance minimale pour un processus de type diffusion avec retards
Kutoyants, Yu. A., (1994)
- More ...