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.

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Year of publication:	2014
Authors:	Görgens, Maik ; Thulin, Måns
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 93.2014, C, p. 78-86
Publisher:	Elsevier
Subject:	α-Brownian bridge \| Bias-correction \| Estimation \| Scaled Brownian bridge

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011040097