Asymptotic expansions of Bayes estimators for small diffusions (Q1326339)
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| Language | Label | Description | Also known as |
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| English | Asymptotic expansions of Bayes estimators for small diffusions |
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Asymptotic expansions of Bayes estimators for small diffusions (English)
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11 October 1994
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Consider diffusion processes defined by stochastic differential equations with small diffusion and an unknown parameter \(\vartheta\) in the drift term. Asymptotic expansions of the bias corrected Bayes estimator of \(\vartheta\) are proved. The efficiency of the Bayes estimator is discussed. The Malliavin calculus is used.
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asymptotic expansions
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diffusion processes
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small diffusion
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bias corrected Bayes estimator
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Malliavin calculus
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