Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
11020294 | Journal of Statistical Planning and Inference | 2019 | 15 Pages |
Abstract
We study the asymptotic behavior of Bayes-type estimators and give sufficient conditions to obtain the asymptotic limit distribution of the estimation error. We assume so called polynomial-type large deviation inequalities and prove the asymptotic equivalence of the estimation errors of Bayes-type and M-estimators by virtue of Ibragimov-Has'minskiÄ theory. The results can be applied to several cases such as diffusion processes and jump diffusion processes. In this paper, we focus on the application to ergodic diffusion processes and ergodic jump diffusion processes, demonstrating asymptotic normality and convergence of moments for Bayes-type estimators with general loss functions.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Teppei Ogihara,