Information criteria for small diffusions via the theory of Malliavin-Watanabe

DOI10.1023/B:SISP.0000016462.43348.8fzbMath1333.62032OpenAlexW1973867894MaRDI QIDQ2481686

Masayuki Uchida, Nakahiro Yoshida

Publication date: 15 April 2008

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:sisp.0000016462.43348.8f

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Markov processes: estimation; hidden Markov models (62M05) Stochastic calculus of variations and the Malliavin calculus (60H07) Statistical aspects of information-theoretic topics (62B10)

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