On moments of Pitman estimators: the case of fractional Brownian Motion
classification
🧮 math.ST
stat.TH
keywords
estimatorspitmanbrownianfractionalfunctionalslikelihoodmomentsmotion
pith:ZTLBIMWC Add to your LaTeX paper
What is a Pith Number?\usepackage{pith}
\pithnumber{ZTLBIMWC}
Prints a linked pith:ZTLBIMWC badge after your title and writes the identifier into PDF metadata. Compiles on arXiv with no extra files. Learn more
read the original abstract
In some non-regular 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.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.