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Items for "strong consistency"

Regularity conditions and the maximum likelihood estimation in dynamical systems with small fractional Brownian noise

We give sufficient conditions under which dynamical system with small fractional Brownian noise generates a set of regular statistical experiments in a sense of Ibragimov and Has'minskii's definition...

Keywords: maximum likelihood estimation, fractional Brownian noise, dynamical system with small noise, Regularity, strong consistency, uniform asymptotical normality

12/2006 | Random Operators and Stochastic Equations, Walter de Gruyter
A new estimating function for discretely sampled diffusions

This paper shows that discretization after the application of Itô formula in the Girsanov likelihood produces estimators of the drift which have faster rates of convergence than the Euler estimator for stationary ergodic diffusions and is free of approximating the stochastic integral...

Keywords: It stochastic differential equation, Diffusion Process, discretization, truncated-Hausdorff moment problem, a new stochastic integral, WALL, Malliavin covariance, approximate maximum likelihood estimator, strong consistency, Berry-Esseen bound

04/2007 | Random Operators and Stochastic Equations, Walter de Gruyter