ESTIMATION FOR DIFFUSION PROCESSES UNDER MISSPECIFIED MODELS.

Ian W. McKeague

doi:10.1017/S0021900200028710

ESTIMATION FOR DIFFUSION PROCESSES UNDER MISSPECIFIED MODELS.

Ian W. McKeague

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

9 Citations (Scopus)

Abstract

The asymptotic behavior of the maximum likelihood estimator of a parameter in the drift term of a stationary ergodic diffusion process is studied under conditions in which the true drift function and true noise function do not coincide with those specified by the parametric model. Refs.

Original language	English
Pages (from-to)	511-520
Journal	Journal of Applied Probability
Volume	21
Issue number	3
DOIs	https://doi.org/10.1017/S0021900200028710
Publication status	Published - 1984
Externally published	Yes

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Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].

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title = "ESTIMATION FOR DIFFUSION PROCESSES UNDER MISSPECIFIED MODELS.",

abstract = "The asymptotic behavior of the maximum likelihood estimator of a parameter in the drift term of a stationary ergodic diffusion process is studied under conditions in which the true drift function and true noise function do not coincide with those specified by the parametric model. Refs.",

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PY - 1984

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UR - https://www.scopus.com/pages/publications/0021493857

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DO - 10.1017/S0021900200028710

M3 - RGC 21 - Publication in refereed journal

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SP - 511

EP - 520

JO - Journal of Applied Probability

JF - Journal of Applied Probability

IS - 3

ER -

ESTIMATION FOR DIFFUSION PROCESSES UNDER MISSPECIFIED MODELS.

Abstract

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