TY - JOUR
T1 - On moments of pitman estimators
T2 - the case of fractional Brownian motion
AU - Novikov, A.
AU - Kordzakhia, N.
AU - Ling, T.
PY - 2014
Y1 - 2014
N2 - In some nonregular statistical estimation problems, the limiting likelihood processes are functionals of fractional Brownian motion (fBm) with Hurst’s parameter H, 0 < H ≦ 1. In this paper we present several analytical and numerical results on the moments of Pitman estimators represented in the form of integral functionals of fBm. We also provide Monte Carlo simulation results for variances of Pitman and asymptotic maximum likelihood estimators.
AB - In some nonregular statistical estimation problems, the limiting likelihood processes are functionals of fractional Brownian motion (fBm) with Hurst’s parameter H, 0 < H ≦ 1. In this paper we present several analytical and numerical results on the moments of Pitman estimators represented in the form of integral functionals of fBm. We also provide Monte Carlo simulation results for variances of Pitman and asymptotic maximum likelihood estimators.
UR - http://www.scopus.com/inward/record.url?scp=84919615743&partnerID=8YFLogxK
UR - http://purl.org/au-research/grants/arc/DP120102398
U2 - 10.1137/S0040585X97986771
DO - 10.1137/S0040585X97986771
M3 - Article
AN - SCOPUS:84919615743
SN - 0040-585X
VL - 58
SP - 601
EP - 614
JO - Theory of Probability and its Applications
JF - Theory of Probability and its Applications
IS - 4
ER -