Expansion of a Maximum Likelihood Estimate by Diffusion Powers

DOI10.1137/1129061MaRDI QIDQ3740854zbMATH OpenOpenAlexFDO

Authors Yu. A. Kutoyants

Publication date 1985

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/1129061

zbMATH Keywords

diffusionmaximum likelihood estimateWiener process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Estimation and detection in stochastic control theory (93E10)

Cited in

(6)

• Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
• Non asymptotic expansions of the MME in the case of Poisson observations
• An expansion for the maximum likelihood estimator of location and its distribution function
• EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
• Parameter estimation for kalman-bucy filter with small noise
• On threshold choice in hypothesis testing for dynamical systems with small noise

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