Summary
This paper considers stochastic differential equations with solutions which are multidimensional diffusion processes with drift coefficient dependent of 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.
Resumen
En este trabajo consideramos ecuaciones diferenciales estocásticas, cuyas soluciones son procesos de difusión multidimensionales con coeficiente tendencia dependiente de un vector paramétrico θ. Considerando una trayectoria observada hasta un tiempo aleatorio, hemos obtenido el estimador de máxima verosimilitud para θ, y hemos probado su consistencia y normalidad asintótica.
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Jáimez, R.G., Carazo, A.H. & Fernández, M.M. Sobre la estimacion del coeficiente de tendencia en procesos de difusion con paradas aleatorias. TDE 1, 57–66 (1986). https://doi.org/10.1007/BF02863555
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DOI: https://doi.org/10.1007/BF02863555