Estimators for the Drift of Subfractional Brownian Motion

被引：17
|
作者：
Shen, Guangjun [1 ]
Yan, Litan [2 ]
机构：
[1] Anhui Normal Univ, Dept Math, Wuhu 241000, Peoples R China
[2] Donghua Univ, Dept Math, Shanghai, Peoples R China
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2014年 / 43卷 / 08期
基金：
中国国家自然科学基金;
关键词：
Maximum likelihood estimator; Subfractional Brownian motion; James-Stein estimator; GAUSSIAN-PROCESSES; LOCAL TIME; RESPECT; SYSTEMS;
D O I：
10.1080/03610926.2012.697243
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, we consider, using technique based on Girsanov theorem, the problem of efficient estimation for the drift of subfractional Brownian motion S-H colon equals (S-t(H))(t is an element of [0, T]). We also construct a class of biased estimators of James-Stein type which dominate, under the usual quadratic risk, the natural maximum likelihood estimator.
引用
收藏
页码：1601 / 1612
页数：12
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