Large deviations inequalities for the maximum likelihood estimator and the Bayes estimators in nonlinear stochastic differential equations

J. P. N. Bishwal

Statistics & Probability Letters, 1999, vol. 43, issue 2, 207-215

Abstract: Exponential bounds on the large deviation probability of the maximum likelihood estimator and the Bayes estimators of the parameter appearing nonlinearly in the drift coefficient of homogeneous Itô's stochastic differential equations are obtained under some regularity conditions.

Keywords: Nonlinear; Ito's; stochastic; differential; equations; Diffusion; processes; Drift; parameter; Maximum; likelihood; estimator; Bayes; estimator; Large; deviations; bounds (search for similar items in EconPapers)
Date: 1999
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(98)00261-2
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:43:y:1999:i:2:p:207-215

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().