Speaker
Miljenko Huzak
(Depathemt of Mathematics, Faculty of Science, University of Zagreb)
Description
In case of an equidistant sampling of an ergodic diffusion path such that
the maximal time of observation tends to infinity and size of time interval subdivision tends to zero, we have investigated an asymptotic normality of the difference between approximate maximum likelihood estimator (AMLE) and maximum likelihood estimator based on continuous observation (MLE).
We use this property for estimating AMLE’s standard errors that accounts
effect of discretization.
Primary author
Miljenko Huzak
(Depathemt of Mathematics, Faculty of Science, University of Zagreb)
