On the asymptotic properties of Bayes-type estimators with general loss functions

DOI10.1016/J.JSPI.2018.06.001MaRDI QIDQ2317246zbMATH OpenOpenAlexWikidataFDO

Authors Teppei Ogihara

Publication date 9 August 2019

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1312.7795

zbMATH Keywords

asymptotic normalityBayes-type estimationconvergence of momentsdiffusion processesjump diffusion processespolynomial-type large deviation inequalities

Mathematics Subject Classification ID

Diffusion processes (60J60) Asymptotic properties of nonparametric inference (62G20)

Abstract: We study asymptotic behaviors of Bayes type estimators and give sufficient conditions to obtain asymptotic limit distribution of estimation error. We assume polynomial type large deviation inequalities and prove asymptotic equivalence of estimation error of Bayes type estimator and that of M-estimator by the virtue of Ibragimov-Has'minskii's theory. The results can be applied to several statistical models of diffusion processes and jump diffusion processes. In this paper, we focus on application to a statistical model of an ergodic diffusion process and give asymptotic normality and convergence of moments of the Bayes type estimator with a general loss function.

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Cited in

(4)

• Asymptotic Bayes risks for a general class of losses
• Quasi-likelihood analysis and Bayes-type estimators of an ergodic diffusion plus noise
• On general Bayesian inference using loss functions
• Asymptotic optimality of the Bayes estimator on differentiable in quadratic mean models

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