Superefficient drift estimation on the Wiener space

DOI10.1016/j.crma.2006.10.002zbMath1101.62067OpenAlexW1998655117MaRDI QIDQ857122

Nicolas Privault, Anthony Réveillac

Publication date: 14 December 2006

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://basepub.dauphine.fr/handle/123456789/7106

zbMATH Keywords

maximum likelihood estimationBayes estimators

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Stochastic analysis (60H99)

Related Items (3)

Stein estimation of the intensity of a spatial homogeneous Poisson point process ⋮ Statistical Inference and Malliavin Calculus ⋮ Stein estimation of Poisson process intensities

Cites Work

• Estimation of the mean of a multivariate normal distribution
• An introduction to analysis on Wiener space

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