Sharp Error Estimate for Maximum Likelihood Estimator of Nonstationary Diffusion Processes

Authors
Xu, Zhi Yan ZHENG, Wei An
Citation
Xu, Zhi Yan et Zheng, Wei An, Sharp Error Estimate for Maximum Likelihood Estimator of Nonstationary Diffusion Processes, Acta mathematica Sinica. English series (Print) , 21(2), 2004, pp. 303-314
Journal title
Acta mathematica Sinica. English series (Print) → ACNP
ISSN journal
14398516
Volume
21
Issue
2
Year of publication
2004
Pages
303 - 314
Database
ACNP
SICI code
Abstract
We consider the maximum likelihood estimator of the unknown parameter in a class of nonstationary diffusion processes. We give further a precise estimate for the error of the estimator.