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Register a new userOn moments of Pitman estimators: the case of fractional Brownian Motion
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Added by
Alexander Novikov
Publication date
2014
fields
Mathematical Statistics
and research's language is
English
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In some non-regular statistical estimation problems, the limiting likelihood processes are functionals of fractional Brownian motion (fBm) with Hursts 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.
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