Maximum likelihood estimation for stochastic processes - a martingale approach
This thesis is primarily concerned with the investigation of asymptotic properties of the maximum likelihood estimate (MLE) of parameters of a stochastic process. These asymptotic properties are related to martingale limit theory by recognizing the (known) fact that, under certain regularity conditions, the derivative of the logarithm of the likelihood function is a martingale. To this end, part of the thesis is devoted to using or developing martingale limit theory to provide conditions...[Show more]
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