Large deviations inequalities for the maximum likelihood estimator and the Bayes estimators in nonlinear stochastic differential equations (Q1293846): Difference between revisions
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| Language | Label | Description | Also known as |
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| English | Large deviations inequalities for the maximum likelihood estimator and the Bayes estimators in nonlinear stochastic differential equations |
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Large deviations inequalities for the maximum likelihood estimator and the Bayes estimators in nonlinear stochastic differential equations (English)
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25 May 2000
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Exponential bounds of large deviations are established for the maximum likelihood as well as for the Bayes estimator of a one-dimensional drift parameter of diffusion processes. The proof employes a general approach of Ibragimov and Khasminskij for getting exponential bounds for the maximum likelihood estimator for any sequence of experiments.
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diffusion processes
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