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Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
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  • Published: September 1992

Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe

  • Nakahiro Yoshida1 

Probability Theory and Related Fields volume 92, pages 275–311 (1992)Cite this article

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Summary

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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Author information

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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Additional information

The research was supported in part by Grant-in-Aid for Encouragement of Young Scientists from the Ministry of Education, Science and Culture

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Yoshida, N. Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe. Probab. Th. Rel. Fields 92, 275–311 (1992). https://doi.org/10.1007/BF01300558

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  • Received: 29 October 1990

  • Revised: 12 November 1991

  • Issue Date: September 1992

  • DOI: https://doi.org/10.1007/BF01300558

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Mathematics Subject Classifications (1980)

  • 62E20
  • 62F12
  • 62M05
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