Article ID Journal Published Year Pages File Type
1151508 Statistics & Probability Letters 2014 9 Pages PDF
Abstract

The bias of the maximum likelihood estimator of the parameter αα in the αα-Brownian bridge is derived. A bias-correction which improves the estimator substantially is proposed. The corrected estimator and Bayesian estimators are compared in a simulation study.

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Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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Bias-correction of the maximum likelihood estimator for the αα-Brownian bridge
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