Incorporating the stochastic process setup in parameter estimation

DOI10.1007/S11009-014-9426-3MaRDI QIDQ905240zbMATH OpenOpenAlexFDO

Authors Lino Sant, Mark Anthony Caruana

Publication date 14 January 2016

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-014-9426-3

zbMATH Keywords

parameter estimationDirichlet distributiongamma processbridge processLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Parametric inference under constraints (62F30) Limit theorems in probability theory (60F99)

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Cites work

• scientific article; zbMATH DE number 469130 (Why is no real title available?)
• scientific article; zbMATH DE number 3263751 (Why is no real title available?)
• A Bayesian analysis of some nonparametric problems
• A parallel between Brownian bridges and gamma bridges
• Properties of estimators for the gamma distribution
• The maximum likelihood estimators of the parameters of the gamma distribution are always positively biased

Cited in

(3)

• Improved on-line estimation for gamma process
• scientific article; zbMATH DE number 5605968 (Why is no real title available?)
• Non parametric estimation of the measure associated with the Lévy–Khintchine canonical representation

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