Pitman estimators: An asymptotic variance revisited
- Publication Type:
- Journal Article
- Citation:
- Theory of Probability and its Applications, 2013, 57 (3), pp. 521 - 529
- Issue Date:
- 2013-09-19
Open Access
Copyright Clearance Process
- Recently Added
- In Progress
- Open Access
This item is open access.
We provide an analytic expression for the variance of ratio of integral functionals of fractional Brownian motion which arises as an asymptotic variance of Pitman estimators for a location parameter of independent identically distributed observations. The expression is obtained in terms of derivatives of a logarithmic moment of the integral functional of limit likelihood ratio process (LLRP). In the particular case when the LLRP is a geometric Brownian motion, we show that the established expression leads to the known representation of the asymptotic variance of Pitman estimator in terms of Riemann zeta-function. © by SIAM.
Please use this identifier to cite or link to this item: