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On asymptotic properties of maximum likelihood estimators for parabolic stochastic PDE's

โœ Scribed by M. Huebner; B. L. Rozovskii


Publisher
Springer
Year
1995
Tongue
English
Weight
862 KB
Volume
103
Category
Article
ISSN
1432-2064

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Asymptotic Expansions for Perturbed Syst
โœ Nakahiro Yoshida ๐Ÿ“‚ Article ๐Ÿ“… 1996 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 928 KB

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.