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Improved on-line estimation for gamma process

Ancha Xu and Lijuan Shen

Statistics & Probability Letters, 2018, vol. 143, issue C, 67-73

Abstract: In this paper, two new estimators based on the spirit of the best linear unbiased estimators are separately developed for homogeneous gamma process. Both estimators can be computed recursively, and have high efficiency. We compare the two new estimators with those of Paroissin (2017) by simulations, and find that ours have smaller biases and mean squared errors.

Keywords: On-line estimation; Gamma process; Inverse Gaussian process; Linear estimation; Wiener process (search for similar items in EconPapers)
Date: 2018
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