Asymptotic expansions of Bayes estimators for small diffusions
type: Item
instance of: scholarly article
title: Asymptotic expansions of Bayes estimators for small diffusions
zbMATH Open document ID: 0796.62071
DOI: 10.1007/BF01196728
author: Nakahiro Yoshida
publication date: 1994-10-11T00:00:00Z
review text: Consider diffusion processes defined by stochastic differential equations with small diffusion and an unknown parameter \(\vartheta\) in the drift term. Asymptotic expansions of the bias corrected Bayes estimator of \(\vartheta\) are proved. The efficiency of the Bayes estimator is discussed. The Malliavin calculus is used.
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 62F15
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 569072
zbMATH Keywords: asymptotic expansions
zbMATH Keywords: diffusion processes
zbMATH Keywords: small diffusion
zbMATH Keywords: bias corrected Bayes estimator
zbMATH Keywords: Malliavin calculus
reviewed by: Wilfried Grecksch
MaRDI profile type: Publication
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published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
description: scientific article; zbMATH DE number 569072