Large Deviations of Estimators in Homogeneous Diffusions
Part of the Lecture Notes in Mathematics book series (LNM, volume 1923)
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In this Chapter we obtain large deviations results for the maximum likelihood estimator and the Bayes estimators in non-linear stochastic differential equations.
KeywordsMaximum Likelihood Estimator Asymptotic Normality Strong Consistency Quadratic Loss Function Weak Consistency
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© Springer-Verlag Berlin Heidelberg 2008