Asymptotic Expansions for Perturbed Systems on Wiener Space: Maximum Likelihood Estimators

Nakahiro Yoshida

Journal of Multivariate Analysis, 1996, vol. 57, issue 1, 1-36

Abstract: By means of the Malliavin Calculus, we derive asymptotic expansion of the probability distributions of statistics for systems perturbed by small noises. These results are applied to the problem of the second order asymptotic efficiency of the maximum likelihood estimator.

Keywords: maximum; likelihood; estimator; Malliavin; calculus; asymptotic; expansion; (null) (search for similar items in EconPapers)
Date: 1996
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Citations: View citations in EconPapers (9)

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