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Error structures and parameter estimation

Author

Listed:
  • Nicolas Bouleau

    (CERMICS - Ecole Nationale des Ponts & Chaussées)

  • Christophe Chorro

    (CERMSEM et CERMICS)

Abstract

This article proposes and studies a link between statistics and the theory of Dirichlet forms used to compute errors. The error calculus based on Dirichlet forms is an extension of classical Gauss' approach to error propagation. The aim of this paper is to derive error structures from measurements. The links with Fisher's information lay the foundations of a strong connection with experiment. Here we show that this connection behaves well towards changes of variables and is related to the theory of asymptotic statistics. Finally the study of products permits to lay the premise of an infinite dimensional empirical error calculus

Suggested Citation

  • Nicolas Bouleau & Christophe Chorro, 2004. "Error structures and parameter estimation," Cahiers de la Maison des Sciences Economiques b04079, Université Panthéon-Sorbonne (Paris 1).
    • Handle: RePEc:mse:wpsorb:b04079
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    File URL: ftp://mse.univ-paris1.fr/pub/mse/cahiers2004/B04079.pdf
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    References listed on IDEAS

    as
    1. Nicolas Bouleau, 2003. "Error Calculus and Path Sensitivity in Financial Models," Mathematical Finance, Wiley Blackwell, vol. 13(1), pages 115-134, January.
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    Cited by:

    1. Christophe Chorro, 2005. "Convergence en loi de Dirichlet de certaines intégrales stochastiques," Cahiers de la Maison des Sciences Economiques b05036, Université Panthéon-Sorbonne (Paris 1).
    2. Christophe Chorro, 2005. "Convergence en loi de Dirichlet de certaines intégrales stochastiques," Post-Print halshs-00194673, HAL.

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    More about this item

    Keywords

    Error; sensitivity; Dirichlet forms; squared field operator; Cramer-Rao inequality; Fischer information;
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