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Asymptotic Expansions for Perturbed Systems on Wiener Space: Maximum Likelihood Estimators

✍ Scribed by Nakahiro Yoshida

Publisher: Elsevier Science
Year: 1996
Tongue: English
Weight: 928 KB
Volume: 57
Category: Article
ISSN: 0047-259X
DOI: 10.1006/jmva.1996.0019

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✦ Synopsis

By means of the Malliavin Calculus, we derive asymptotic expansion of the probability distributions of statistics for systems perturbed by small noises. These results are applied to the problem of the second order asymptotic efficiency of the maximum likelihood estimator.

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