Bounds for the Equivalence of Bayes and Maximum Likelihood Estimators for a Class of Diffusion Processes

DOI10.1080/02331889108802340zbMath0753.62054OpenAlexW2015266493MaRDI QIDQ3989507

B. L. S. Prakasa Rao, Mahendra Nath Mishra

Publication date: 28 June 1992

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331889108802340

zbMATH Keywords

equivalencediffusion processmaximum likelihood estimatorsdrift coefficientBayes estimatorsposterior densityOrnstein- Uhlenbeck processlinear homogeneous stochastic differential equationprior probability measure

Mathematics Subject Classification ID

Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05)

Related Items

Equivalence between Bayes and the maximum likelihood estimator in M/M/1 queue

Cites Work

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• Rate of convergence in the bernstein-von mises theorem for a class of diffusion processes
• Maximum likelihood estimation for continuous-time stochastic processes
• Improved Bounds for Equivalence of Bayes and Maximum Likelihood Estimation