Asymptotic expansions of Bayes estimators for small diffusions

DOI10.1007/BF01196728zbMath0796.62071MaRDI QIDQ1326339

Nakahiro Yoshida

Publication date: 11 October 1994

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

zbMATH Keywords

Malliavin calculusasymptotic expansionsdiffusion processessmall diffusionbias corrected Bayes estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items

On ADF goodness-of-fit tests for perturbed dynamical systems, Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations, High order asymptotic expansion for Wiener functionals, Asymptotic expansion and estimates of Wiener functionals, Statistical inference for stochastic differential equations with small noises, Asymptotic expansion formulas for functionals of \(\varepsilon\)-Markov processes with a mixing property, Malliavin calculus and martingale expansion, More higher-order efficiency: Concentration probability, Non asymptotic expansions of the MME in the case of Poisson observations, Conditional expansions and their applications., Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations

Cites Work

• Contributions to a general asymptotic statistical theory. With the assistance of W. Wefelmeyer
• Asymptotic expansions for general statistical models. With the assist. of W. Wefelmeyer
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• Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
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