ASYMPTOTIC EXPANSIONS OF MAXIMUM-LIKELIHOOD ESTIMATORS FOR SMALL DIFFUSIONS VIA THE THEORY OF MALLIAVIN WATANABE
成果类型：
Article
署名作者：
YOSHIDA, N
刊物名称：
PROBABILITY THEORY AND RELATED FIELDS
ISSN/ISSBN：
0178-8051
DOI：
10.1007/BF01300558
发表日期：
1992
页码：
275-311
关键词：
摘要：
The asymptotic expansions of the probability distributions of statistics for the small diffusion are derived by means of the Malliavin calculus. From this the second order efficiency of the maximum likelihood estimator is proved.
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