Local asymptotic mixed normality property for elliptic diffusion: A Malliavin calculus approach
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Publication:1611572
DOI10.2307/3318625zbMath1003.60057OpenAlexW2067682608MaRDI QIDQ1611572
Publication date: 9 January 2003
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.bj/1078951128
Malliavin calculusdiffusion processesconditional expectationsparametric estimationlog-likelihood ratiosconvergence of sums of random variableslocal asymptotic mixed property
Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07)
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