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Asymptotic expansion of Bayes estimators for small diffusions |
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| Authors: | Nakahiro Yoshida |
| Affiliation: | (1) The Institute of Statistical Mathematics, 4-6-7 Minami-Azabu, Minato-Ku, 106 Tokyo, Japan |
| Abstract: | Summary Using the Malliavin calculus we derived asymptotic expansion of the distributions of the Bayes estimators for small diffusions. The second order efficiency of the Bayes estimator is proved. |
| Keywords: | 62M05 62F12 60H10 |
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