Bias-correction of the maximum likelihood estimator for the \(\alpha\)-Brownian bridge

DOI10.1016/j.spl.2014.06.020zbMath1400.62047arXiv1404.4452OpenAlexW2036715754MaRDI QIDQ395970

Maik Görgens, Måns Thulin

Publication date: 8 August 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.4452

zbMATH Keywords

estimationbias-correction\(\alpha\)-Brownian bridgescaled Brownian bridge

Mathematics Subject Classification ID

Point estimation (62F10) Bayesian inference (62F15) Brownian motion (60J65)

Related Items (3)

Optimal Berry-Esséen bound for maximum likelihood estimation of the drift parameter in \(\alpha \)-Brownian bridge ⋮ On the large deviation principle for maximum likelihood estimator of \(\alpha\)-Brownian bridge ⋮ On the large deviation principle of generalized Brownian bridges

Cites Work

• Decision-theoretic justifications for Bayesian hypothesis testing using credible sets
• Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions
• Large deviations for parameter estimators of \(\alpha\)-Brownian bridge
• On a one-parameter generalization of the Brownian bridge and associated quadratic functionals
• Sharp large deviations for the log-likelihood ratio of an \({\alpha}\)-Brownian bridge
• Parameter Estimation for α-Fractional Bridges
• α-Wiener Bridges: Singularity of Induced Measures and Sample Path Properties
• Optimal Stopping of a Brownian Bridge
• The Moment-Generating Function and Negative Integer Moments
• A market-induced mechanism for stock pinning
• An invariant form for the prior probability in estimation problems

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