Mathematics
8 years ago

Maximum-Likelihood-Estimator proves consistency and efficiency in stochastic differential equations.

Series Statistics
Consistency, asymptotic normality and asymptotic efficiency of the maximum-likelihood-estimator in linear stochastic differential equations
Bärbel Bellach

Paper Summary

The researchers proved that the Maximum-Likelihood-Estimator is reliable for finding unknown system parameters in certain types of equations. They also found conditions where this method works well in stable situations.

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