Maximum likelihood estimation for the drift parameter in diffusion processes

Stochastics ◽  
2015 ◽  
Vol 88 (5) ◽  
pp. 699-710 ◽  
Author(s):  
Chao Wei ◽  
Huisheng Shu
Keyword(s):  
Maximum Likelihood ◽  
Maximum Likelihood Estimation ◽  
Diffusion Processes ◽  
Likelihood Estimation ◽  
Drift Parameter

Sequential Maximum Likelihood Estimation for the Parameter of the Linear Drift Term of the Rayleigh Diffusion Process

2015 ◽  
Vol 16 (1) ◽  
pp. 35-41
Author(s):  
Nenghui Kuang ◽  
Chunli Li ◽  
Huantian Xie
Keyword(s):  
Maximum Likelihood ◽  
Maximum Likelihood Estimation ◽  
Diffusion Process ◽  
Simulation Study ◽  
Likelihood Estimation ◽  
Likelihood Estimator ◽  
Linear Drift ◽  
Drift Term ◽  
Strongly Consistent ◽  
Drift Parameter

AbstractIn this paper, we investigate the properties of a sequential maximum likelihood estimator of the unknown linear drift parameter for the Rayleigh diffusion process. The estimator is shown to be closed, unbiased, normally distributed and strongly consistent. Finally a simulation study is presented to illustrate the efficiency of the estimator.

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