Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
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Publication:1203351
DOI10.1007/BF01300558zbMath0767.60035MaRDI QIDQ1203351
Publication date: 22 March 1993
Published in: Probability Theory and Related Fields (Search for Journal in Brave)
Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Markov processes: estimation; hidden Markov models (62M05) Stochastic calculus of variations and the Malliavin calculus (60H07) Limit theorems in probability theory (60F99)
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Cites Work
- Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
- Asymptotic efficiency of statistical estimators: concepts and higher order asymptotic efficiency
- Higher order asymptotic theory for time series analysis
- On the second order asymptotic efficiency of estimators of Gaussian ARMA processes
- Expansion of a Maximum Likelihood Estimate by Diffusion Powers
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