This paper presents a tractable sufficient condition for the consistency of maximum likelihood estimators (MLEs) in partially observed diffusion models, stated in terms of stationary distribution of the associated fully observed diffusion, under the assumption that the set of unknown parameter values is finite. This sufficient condition is then verified in the context of a latent price model of market microstructure, yielding consistency of maximum likelihood estimators of the unknown parameters in this model. Finally, we compute the latter estimators using historical financial data taken from the NASDAQ exchange.

翻译：本文针对部分观测扩散模型，在未知参数集有限的假设下，给出了最大似然估计量一致性的一个易于处理的充分条件，该条件以相关完全观测扩散的平稳分布表述。随后，在市场微观结构的潜在价格模型背景下验证了这一充分条件，从而证明了该模型中未知参数的最大似然估计量的一致性。最后，我们利用纳斯达克交易所的历史金融数据计算了这些估计量。