Pitman estimators: an asymptotic variance revisited

DOI10.1137/S0040585X9798614XMaRDI QIDQ2863593zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(6)

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

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