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：本文针对未知参数集为有限集的情形，提出了部分观测扩散模型中最大似然估计量（MLE）一致性的一个可处理的充分条件，该条件通过关联全观测扩散的平稳分布进行表述。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最大似然估计量的一致性。最后，我们利用取自NASDAQ交易所的历史金融数据计算了这些估计量。