Ishra, M. N. ; Prakasa Rao, B. L. S. (1991) Bounds for the equivalence of Bayes and maximum likelihood estimators for a class of diffusion processes Statistics: A Journal of Theoretical and Applied Statistics, 22 (4). pp. 613-625. ISSN 0233-1888
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Related URL: http://dx.doi.org/10.1080/02331889108802340
Abstract
Let be the unknown parameter in the drift coefficient of a diffusion process described by a linear homogeneous stochastic differential equation. Bounds for the equivalence of BAYES and Maximum likelihood estimators of the parameter have been obtained in this paper.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Taylor and Francis Group. |
| Keywords: | Linear Homogeneous Stochastic Differential Equation; BAYES Estimator; Maximum Likelihood Estimator; Drift Coefficient Of Diffusion Processes; Prior Probability Measure; Posterior Density |
| ID Code: | 37244 |
| Deposited On: | 26 Apr 2011 10:30 |
| Last Modified: | 26 Apr 2011 10:30 |
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