Bias-correction of the maximum likelihood estimator for the α-Brownian bridge

• The bias of the maximum likelihood estimator of the parameter α in the α-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.

Ämnesord

NATURVETENSKAP  -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)

NATURAL SCIENCES  -- Mathematics -- Probability Theory and Statistics (hsv//eng)

Nyckelord

α-Brownian bridge

Bias-correction

Estimation

Scaled Brownian bridge

Publikations- och innehållstyp

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