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20152026
most citedMaximum likelihood estimation in the non-ergodic fractional Vasicek model

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math.PR2015★ 2 cited

Asymptotic normality of discretized maximum likelihood estimator for drift parameter in homogeneous diffusion model

Kostiantyn Ralchenko

We prove the asymptotic normality of the discretized maximum likelihood estimator for the drift parameter in the homogeneous ergodic diffusion model.