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math.ST2022
Beyond the delta method
Antoine Lejay, Sara Mazzonetto
We give an asymptotic development of the maximum likelihood estimator (MLE), or any other estimator defined implicitly, in a way which involves the limiting behavior of the score a…
math.PR2022★ 4 cited
General diffusion processes as the limit of time-space Markov chains
Alexis Anagnostakis, Antoine Lejay, Denis Villemonais
We prove the convergence of the law of grid-valued random walks, which can be seen as time-space Markov chains, to the law of a general diffusion process. This includes processes w…