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Remark on semigroup techniques and the maximum likelihood estimation

✍ Scribed by Loukianova Daria

Publisher: Elsevier Science
Year: 2003
Tongue: English
Weight: 113 KB
Volume: 62
Category: Article
ISSN: 0167-7152
DOI: 10.1016/s0167-7152(02)00431-5

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✦ Synopsis

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 Â here belongs to an arbitrary compact metric space.

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