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

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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Year of publication:	1996
Authors:	Yoshida, Nakahiro
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 57.1996, 1, p. 1-36
Publisher:	Elsevier
Keywords:	maximum likelihood estimator Malliavin calculus asymptotic expansion (null)

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005199813