On the rate of convergence of the maximum likelihood estimator in Brownian semimartingale models

J.H. van Zanten

doi:10.3150/bj/1126126763

On the rate of convergence of the maximum likelihood estimator in Brownian semimartingale models

J.H. van Zanten

Mathematics

Research output: Contribution to Journal › Article › Academic › peer-review

Abstract

In this paper we present a unified approach to obtaining rates of convergence for the maximum likelihood estimator (MLE) in Brownian semimartingale models of the form dX

Original language	English
Pages (from-to)	643-664
Journal	Bernoulli: A Journal of Mathematical Statistics and Probability
Volume	11
Issue number	4
DOIs	https://doi.org/10.3150/bj/1126126763
Publication status	Published - 2005

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MR2158254

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10.3150/bj/1126126763

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title = "On the rate of convergence of the maximum likelihood estimator in Brownian semimartingale models",

abstract = "In this paper we present a unified approach to obtaining rates of convergence for the maximum likelihood estimator (MLE) in Brownian semimartingale models of the form dX",

author = "{van Zanten}, J.H.",

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AB - In this paper we present a unified approach to obtaining rates of convergence for the maximum likelihood estimator (MLE) in Brownian semimartingale models of the form dX

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DO - 10.3150/bj/1126126763

M3 - Article

SN - 1350-7265

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EP - 664

JO - Bernoulli: A Journal of Mathematical Statistics and Probability

JF - Bernoulli: A Journal of Mathematical Statistics and Probability

IS - 4

ER -

On the rate of convergence of the maximum likelihood estimator in Brownian semimartingale models

Abstract

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