Large deviations inequalities for the maximum likelihood estimator and the Bayes estimators in nonlinear stochastic differential equations
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Publication:1293846
DOI10.1016/S0167-7152(98)00261-2zbMath0936.60024MaRDI QIDQ1293846
Publication date: 25 May 2000
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Large deviations (60F10)
Related Items (20)
Parameter estimation for generalized diffusion processes with reflected boundary ⋮ Parameter estimation of path-dependent McKean-Vlasov stochastic differential equations ⋮ Optimal Berry-Esseen bound for an estimator of parameter in the Ornstein-Uhlenbeck process ⋮ Sequential maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes ⋮ High-order approximation of Pearson diffusion processes ⋮ Large deviations for parameter estimators of \(\alpha\)-Brownian bridge ⋮ Maximum likelihood estimation of McKean-Vlasov stochastic differential equation and its application ⋮ Optimal Berry-Esseen bound for statistical estimations and its application to SPDE ⋮ Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions ⋮ The precise asymptotic behavior of parameter estimators in Ornstein-Uhlenbeck process ⋮ Berry-Esseen bound for parameter estimation in some time inhomogeneous diffusions and applications ⋮ Asymptotic behavior of maximum likelihood estimator for time inhomogeneous diffusion processes ⋮ Moderate deviations for parameter estimation in some time inhomogeneous diffusions ⋮ Rates of convergence of approximate maximum likelihood estimators in the Ornstein-Uhlenbeck process ⋮ Accuracy of normal approximation for the maximum likelihood estimator and Bayes estimators in the Ornstein-Uhlenbeck process using random normings ⋮ Statistical inference for perturbed multiscale dynamical systems ⋮ A general lower bound of parameter estimation for reflected Ornstein–Uhlenbeck processes ⋮ Asymptotic behaviour of parametric estimation for nonstationary reflected Ornstein-Uhlenbeck processes ⋮ Statistical inference for reciprocal gamma diffusion process ⋮ Sharp error estimate for maximum likelihood estimator of nonstationary diffusion processes
Cites Work
- On the exponential rate of convergence of the least squares estimator in the nonlinear regression model with Gaussian errors
- Estimation of the Trend Parameter of a Diffusion Process in the Smooth Case
- Minimum contrast estimation in diffusion processes
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