Estimation of parameters of linear homogeneous stochastic differential equations

[摘要] In this paper we investigate the problem of parametric estimation for multidimensional linear autonomous homogeneous stochastic differential equations. We prove the Local Asymptotical Normality (LAN) property, find the Maximum Likelihood Estimator (MLE), and prove an asymptotical efficiency of MLE for bounded loss functions, when the observation time tends to infinity. (C) 1997 Elsevier Science B.V.

[发布日期] 1997-12-15

[关键词] linear stochastic differential equations;local asymptotic normality;maximum likelihood estimator;asymptotically efficient estimator