On the estimation of the drift coefficient in diffusion processes with random stopping times.

Gutiérrez Jáimez, Ramón, Hermoso Carazo, Aurora, and Molina Fernández, Manuel. "On the estimation of the drift coefficient in diffusion processes with random stopping times.." Trabajos de Estadística 1.2 (1986): 57-66. <http://eudml.org/doc/40482>.

@article{GutiérrezJáimez1986,
abstract = {This paper considers stochastic differential equations with solutions which are multidimensional diffusion processes with drift coefficient depending on a parametric vector θ. By considering a trajectory observed up to a stopping time, the maximum likelihood estimator for θ has been obtained and its consistency and asymptotic normality have been proved.},
author = {Gutiérrez Jáimez, Ramón, Hermoso Carazo, Aurora, Molina Fernández, Manuel},
journal = {Trabajos de Estadística},
keywords = {Proceso de difusión; Estimación; Tiempo de parada; multidimensional diffusion processes; stopping time; maximum likelihood estimator; consistency; asymptotic normality},
language = {eng},
number = {2},
pages = {57-66},
title = {On the estimation of the drift coefficient in diffusion processes with random stopping times.},
url = {http://eudml.org/doc/40482},
volume = {1},
year = {1986},
}

TY - JOUR
AU - Gutiérrez Jáimez, Ramón
AU - Hermoso Carazo, Aurora
AU - Molina Fernández, Manuel
TI - On the estimation of the drift coefficient in diffusion processes with random stopping times.
JO - Trabajos de Estadística
PY - 1986
VL - 1
IS - 2
SP - 57
EP - 66
AB - This paper considers stochastic differential equations with solutions which are multidimensional diffusion processes with drift coefficient depending on a parametric vector θ. By considering a trajectory observed up to a stopping time, the maximum likelihood estimator for θ has been obtained and its consistency and asymptotic normality have been proved.
LA - eng
KW - Proceso de difusión; Estimación; Tiempo de parada; multidimensional diffusion processes; stopping time; maximum likelihood estimator; consistency; asymptotic normality
UR - http://eudml.org/doc/40482
ER -