Pitman estimators: an asymptotic variance revisited

DOI10.1137/S0040585X9798614XzbMATH Open1402.62037OpenAlexW2086087478MaRDI QIDQ2863593FDOQ2863593

Authors: N. Kordzakhia, A. Novikov 

Publication date: 22 November 2013

Published in: Theory of Probability and its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x9798614x

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zbMATH Keywords

geometric Brownian motionPitman estimatorslimit likelihood ratio process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Fractional processes, including fractional Brownian motion (60G22)

Cited In (6)

• Contribution to the theory of Pitman estimators
• On limit distributions of estimators in irregular statistical models and a new representation of fractional Brownian motion
• On moments of Pitman estimators: the case of fractional Brownian motion
• Translation invariant statistical experiments with independent increments
• On Exponential Functionals of Processes with Independent Increments
• Estimating powers of the generalized variance under the pitman closeness criterion

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