Large deviations inequalities for the maximum likelihood estimator and the Bayes estimators in nonlinear stochastic differential equations

DOI10.1016/S0167-7152(98)00261-2zbMATH Open0936.60024MaRDI QIDQ1293846FDOQ1293846

Authors Jaya P. N. Bishwal

Publication date 25 May 2000

Published in Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

diffusion processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Large deviations (60F10)

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Cited in

(30)

• Sharp error estimate for maximum likelihood estimator of nonstationary diffusion processes
• Asymptotic behavior of maximum likelihood estimator for time inhomogeneous diffusion processes
• Upper bounds for large deviation probabilities for the MLE and BE of a parameter for some stochastic partial differential equations
• Accuracy of normal approximation for the maximum likelihood estimator and Bayes estimators in the Ornstein-Uhlenbeck process using random normings
• Rates of convergence of approximate maximum likelihood estimators in the Ornstein-Uhlenbeck process
• Optimal Berry-Esseen bound for an estimator of parameter in the Ornstein-Uhlenbeck process
• Large deviations for parameter estimators of \(\alpha\)-Brownian bridge
• Large deviations and Berry-Esseen inequalities for estimators in nonhomogeneous diffusion driven by fractional Brownian motion
• The precise asymptotic behavior of parameter estimators in Ornstein-Uhlenbeck process
• Berry-Esseen bound for parameter estimation in some time inhomogeneous diffusions and applications
• scientific article; zbMATH DE number 718721 (Why is no real title available?)
• scientific article; zbMATH DE number 5372264 (Why is no real title available?)
• High-order approximation of Pearson diffusion processes
• Sequential maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
• An example of exponential bound for large deviations of the maximum likelihood estimator and the Bayes estimator of the parameter in the nondifferentiable drift coefficient of stochastic differential equations
• Moderate deviations for parameter estimation in some time inhomogeneous diffusions
• A general lower bound of parameter estimation for reflected Ornstein-Uhlenbeck processes
• Asymptotic behaviour of parametric estimation for nonstationary reflected Ornstein-Uhlenbeck processes
• Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions
• Large-deviation inequalities for parameter estimators in stochastic systems
• Maximum likelihood estimation of McKean-Vlasov stochastic differential equation and its application
• Large deviation inequalities for the MLE and Bayes estimator in SDEs with fractional Brownian motion
• Statistical inference for reciprocal gamma diffusion process
• Parameter estimation of path-dependent McKean-Vlasov stochastic differential equations
• Statistical inference for perturbed multiscale dynamical systems
• Large deviations and Berry-Esseen inequalities in the stochastic diffusion driven by a Volterra type process
• Parameter estimation for generalized diffusion processes with reflected boundary
• Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations
• Bounds for the Equivalence of Bayes and Maximum Likelihood Estimators for a Class of Diffusion Processes
• Optimal Berry-Esseen bound for statistical estimations and its application to SPDE

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