Asymptotic expansions for perturbed systems on Wiener space: Maximum likelihood estimators

DOI10.1006/JMVA.1996.0019zbMath0845.62054OpenAlexW2014032049MaRDI QIDQ1915352

Nakahiro Yoshida

Publication date: 18 September 1996

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/97bdec16970d5ea0047b578928e2887f642f8ecc

zbMATH Keywords

Malliavin calculusdisturbancesasymptotic expansionslikelihood ratio statisticsmaximum likelihood estimatorsnormal random variablessecond order asymptotic efficiencywhite Gaussian noises

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (8)

On score-functions and goodness-of-fit tests for stochastic processes ⋮ On ADF goodness-of-fit tests for perturbed dynamical systems ⋮ High order asymptotic expansion for Wiener functionals ⋮ Information geometry of small diffusions ⋮ Asymptotic expansion and estimates of Wiener functionals ⋮ Asymptotic expansion formulas for functionals of \(\varepsilon\)-Markov processes with a mixing property ⋮ Malliavin calculus and martingale expansion ⋮ Conditional expansions and their applications.

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