Summary
Using the Malliavin calculus we derived asymptotic expansion of the distributions of the Bayes estimators for small diffusions. The second order efficiency of the Bayes estimator is proved.
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Yoshida, N. Asymptotic expansion of Bayes estimators for small diffusions. Probab. Th. Rel. Fields 95, 429–450 (1993). https://doi.org/10.1007/BF01196728
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DOI: https://doi.org/10.1007/BF01196728
Mathematics Subject Classification (1980)
- 62M05
- 62F12
- 60H10