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On the Relationships between Sum Score Based Estimation and Joint Maximum Likelihood Estimation

✍ Scribed by Guido del Pino; Ernesto San Martín; Jorge González; Paul De Boeck


Publisher
Springer
Year
2007
Tongue
English
Weight
231 KB
Volume
73
Category
Article
ISSN
0033-3123

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Using a simple semigroup argument we show the almost sure convergence of the maximum likelihood estimator (MLE) for a drift parameter of di usions given by dX t =dB t -∇U (Â; X t ) dt. The unknown parameter  here belongs to an arbitrary compact metric space.