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 distributions of the associated test processes, under the assumption that the set of unknown parameter values is finite. We illustrate the tractability of this sufficient condition by verifying it in the context of a latent price model of market microstructure. Finally, we describe an algorithm for computing MLEs in partially observed diffusion models and test it on historical data to estimate the parameters of the latent price model.

翻译：本文件为部分观测到的传播模型中最大可能性估测员(MLEs)的一致性提供了一个可移动的充足条件,该条件以相关测试过程的固定分布方式说明,假设一组未知参数值是有限的,我们通过在市场微观结构潜在价格模型中加以核实来说明这一充分条件的可移动性。最后,我们描述了在部分观测到的传播模型中计算 MLE的算法,并根据历史数据进行测试,以估计潜在价格模型的参数。