Asymptotic expansions for perturbed systems on Wiener space: Maximum likelihood estimators

DOI10.1006/JMVA.1996.0019MaRDI QIDQ1915352zbMATH OpenOpenAlexFDO

Authors Nakahiro Yoshida

Publication date 18 September 1996

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/97bdec16970d5ea0047b578928e2887f642f8ecc

zbMATH Keywords

asymptotic expansionsdisturbanceslikelihood ratio statisticsMalliavin calculusmaximum likelihood estimatorsnormal random variablessecond order asymptotic efficiencywhite Gaussian noises

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Diffusion processes (60J60) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

Review text

We consider stochastic systems with unknown parameters disturbed by white Gaussian noises or normal random variables. For many such systems the unknown parameters can be estimated consistently by certain statistical estimators when the disturbances become small and the stochastic system tends to the corresponding deterministic one. For instance, the maximum likelihood method and the Bayes method are available for diffusion processes with unknown parameters in their drifts when the diffusion coefficient is small. In this case, the maximum likelihood estimator and the Bayes estimator are consistent and efficient in the first order. As for higher order properties of estimators, they are known to be second-order efficient in a certain sense. This fact follows from their asymptotic expansions in consideration of a problem of hypothesis testing. Thus asymptotic expansions for estimators play an important role in higher order statistical inference. The purpose of this article is to derive asymptotic expansions for likelihood ratio statistics and maximum likelihood estimators of unknown parameters involved in a system slightly disturbed by white Gaussian noises or normal random variables.

Recommendations

• Asymptotic expansion of \(M_-\)-estimator over Wiener space
• scientific article; zbMATH DE number 3921621
• Asymptotic expansion and estimates of Wiener functionals
• Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
• scientific article; zbMATH DE number 1304730
• Asymptotic properties of the maximum likelihood estimator for stochastic PDEs disturbed by small noise

Cited in

(9)

• Asymptotic expansions of Kalman systems
• Asymptotic expansion formulas for functionals of \(\varepsilon\)-Markov processes with a mixing property
• Conditional expansions and their applications.
• Asymptotic expansion and estimates of Wiener functionals
• On score-functions and goodness-of-fit tests for stochastic processes
• Malliavin calculus and martingale expansion
• High order asymptotic expansion for Wiener functionals
• Information geometry of small diffusions
• On ADF goodness-of-fit tests for perturbed dynamical systems

This page was built for publication: Asymptotic expansions for perturbed systems on Wiener space: Maximum likelihood estimators

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1915352)