scientific article; zbMATH DE number 5372264

MaRDI QIDQ3540677zbMATH OpenFDO

Authors Jaya P. N. Bishwal

Publication date 24 November 2008

zbMATH Keywords

maximum likelihood estimatorBayes estimatordrift parameterItô stochastic differential equationnonhomogeneous diffusion processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Large deviations (60F10) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited in

(10)

• Large deviation inequalities for the MLE and Bayes estimator in SDEs with fractional Brownian motion
• Estimates of Berry-Esseen type for probabilities of large deviations under violation of the Cramér condition
• Berry-Esseen inequalities for discretely observed diffusions
• An exponential nonuniform Berry-Esseen bound of the maximum likelihood estimator in a Jacobi process
• Large deviations and Berry-Esseen inequalities for estimators in nonhomogeneous diffusion driven by fractional Brownian motion
• Large deviations and Berry-Esseen inequalities in the stochastic diffusion driven by a Volterra type process
• scientific article; zbMATH DE number 3960811 (Why is no real title available?)
• Berry-Esseen bound for parameter estimation in some time inhomogeneous diffusions and applications
• A note on inequalities for probabilities of large deviations of estimators in nonlinear regression models
• Learning mean-field equations from particle data using WSINDy

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