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Asymptotic distribution of MLE’s of the parameters for a diffusion model with catastrophes and some related inference problems

Abstract In this paper the asymptotic distribution of the maximum likelihood estimators (MLE) for a diffusion model with beta catastrophe process is considered. Results are given on the asymptotic distribution of the score function and the MLE when standardized by the information matrix. The test of hypotheses and multivariate t method of simultaneous confidence intervals are also determined.