On moments of pitman estimators: The case of fractional Brownian motion

Novikov, A; Kordzakhia, N; Ling, T

On moments of pitman estimators: The case of fractional Brownian motion

Novikov, A

Kordzakhia, N Ling, T

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Publication Type:: Journal Article
Citation:: Theory of Probability and its Applications, 2014, 58 (4), pp. 601 - 614
Issue Date:: 2014-01-01

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Field	Value	Language
dc.contributor.author	Novikov, A https://orcid.org/0000-0001-8529-173X	en_US
dc.contributor.author	Kordzakhia, N	en_US
dc.contributor.author	Ling, T	en_US
dc.date.issued	2014-01-01	en_US
dc.identifier.citation	Theory of Probability and its Applications, 2014, 58 (4), pp. 601 - 614	en_US
dc.identifier.issn	0040-585X	en_US
dc.identifier.uri	http://hdl.handle.net/10453/33653
dc.description.abstract	© 2014 Society for Industrial and Applied Mathematics. In some nonregular statistical estimation problems, the limiting likelihood processes are functionals of fractional Brownian motion (fBm) with Hurst’s 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.	en_US
dc.relation.ispartof	Theory of Probability and its Applications	en_US
dc.relation.isbasedon	10.1137/S0040585X97986771	en_US
dc.subject.classification	Statistics & Probability	en_US
dc.title	On moments of pitman estimators: The case of fractional Brownian motion	en_US
dc.type	Journal Article
utslib.citation.volume	4	en_US
utslib.citation.volume	58	en_US
utslib.for	0104 Statistics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	open_access
pubs.issue	4	en_US
pubs.publication-status	Published	en_US
pubs.volume	58	en_US

Abstract:

© 2014 Society for Industrial and Applied Mathematics. In some nonregular statistical estimation problems, the limiting likelihood processes are functionals of fractional Brownian motion (fBm) with Hurst’s 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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http://hdl.handle.net/10453/33653