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Asymptotic expansion of Bayes estimators for small diffusions
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  • Published: December 1993

Asymptotic expansion of Bayes estimators for small diffusions

  • Nakahiro Yoshida1 

Probability Theory and Related Fields volume 95, pages 429–450 (1993)Cite this article

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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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Authors and Affiliations

  1. The Institute of Statistical Mathematics, 4-6-7 Minami-Azabu, Minato-Ku, 106, Tokyo, Japan

    Nakahiro Yoshida

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  1. Nakahiro Yoshida
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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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  • Received: 02 January 1992

  • Revised: 02 October 1992

  • Issue Date: December 1993

  • DOI: https://doi.org/10.1007/BF01196728

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Mathematics Subject Classification (1980)

  • 62M05
  • 62F12
  • 60H10
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