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

TL;DR

This paper proves that the discretized maximum likelihood estimator for the drift parameter in a homogeneous ergodic diffusion model follows a normal distribution asymptotically, confirming its statistical reliability.

Contribution

It establishes the asymptotic normality of the discretized MLE for the drift parameter in homogeneous diffusion models, a key theoretical result.

Findings

Discretized MLE is asymptotically normal.

The result applies to ergodic diffusion models.

Provides theoretical validation for statistical inference.

Abstract

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