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

Maik Görgens and Måns Thulin

Statistics & Probability Letters, 2014, vol. 93, issue C, 78-86

Abstract: 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.

Keywords: α-Brownian bridge; Bias-correction; Estimation; Scaled Brownian bridge (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.spl.2014.06.020

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