Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe |
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| Authors: | Nakahiro Yoshida |
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| Affiliation: | (1) The Institute of Statistical Mathematics, 4-6-7 Minami-Azabu, Minato-ku, 106 Tokyo, Japan |
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| Abstract: | 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.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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| Keywords: | 62E20 62F12 62M05 |
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