Asymptotic expansion of \(M_-\)-estimator over Wiener space

DOI10.1023/A:1009901327790zbMath1061.62554OpenAlexW2147275356MaRDI QIDQ1281926

Yuji Sakamoto, Nakahiro Yoshida

Publication date: 22 April 1999

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

Full work available at URL: https://doi.org/10.1023/a:1009901327790

zbMATH Keywords

asymptotic expansionMalliavin calculusdiffusion processmartingale\(M_-\)-estimator

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)

Related Items (7)

Third-order asymptotic expansion of \(M\)-estimators for diffusion processes ⋮ High order asymptotic expansion for Wiener functionals ⋮ Asymptotic expansion and estimates of Wiener functionals ⋮ Edgeworth expansion for ergodic diffusions ⋮ Asymptotic expansion formulas for functionals of \(\varepsilon\)-Markov processes with a mixing property ⋮ Malliavin calculus and martingale expansion ⋮ Robust parameter estimation for the Ornstein-Uhlenbeck process

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