Abstract
Let θ be the unknown parameter in the drift coefficient of a certain class of nonstationary diffusion processes. We study maximum contrast estimators of θ from discrete observations, i.e., the sample path is observed at times kΔ n , k = 0, 1, …, n . We propose some conditions on Δ n under which the estimators are consistent and asymptotically normal. The results are applied to the Ornstein-Uhlenbeck and Mishra-Prakasa Rao processes.
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