NDLI: Asymptotic Expansion of M ‐Estimator Over Wiener Space

Content Provider	Springer Nature Link
Author	Sakamoto, Yuji Yoshida, Nakahiro
Copyright Year	1998
Abstract	In this paper we consider an M‐estimator defined as a solution of a given estimating function. Sufficient conditions of existence of an M‐estimator and its stochastic expansion are presented. In the case where the underlying probability space is a Wiener space and the leading term of the stochastic expansion is a martingale, asymptotic expansions of its distribution function are obtained with the aid of Malliavin calculus. Applications to a stationary ergodic diffusion model are also discussed.
Starting Page	85
Ending Page	103
Page Count	19
File Format	PDF
ISSN	13870874
Journal	Statistical Inference for Stochastic Processes
Volume Number	1
Issue Number	1
e-ISSN	15729311
Language	English
Publisher	Kluwer Academic Publishers
Publisher Date	1998-01-01
Publisher Place	Dordrecht
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Probability Theory and Stochastic Processes
Content Type	Text
Resource Type	Article
Subject	Statistics and Probability

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Asymptotic Expansion of M ‐Estimator Over Wiener Space