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DC Field | Value | Language |
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dc.contributor.author | Sant, Lino | - |
dc.contributor.author | Caruana, Mark Anthony | - |
dc.date.accessioned | 2022-02-22T07:26:58Z | - |
dc.date.available | 2022-02-22T07:26:58Z | - |
dc.date.issued | 2015 | - |
dc.identifier.citation | Sant, L., & Caruana, M. A. (2015). Incorporating the stochastic process setup in parameter estimation. Methodology and Computing in Applied Probability, 17(4), 1029-1036. | en_GB |
dc.identifier.uri | https://www.um.edu.mt/library/oar/handle/123456789/89575 | - |
dc.description.abstract | Estimation problems within the context of stochastic processes are usually studied with the help of statistical asymptotic theory and proposed estimators are tested with the use of simulated data. For processes with stationary increments it is customary to use differenced time series, treating them as selections from the increments’ distribution. Though distributionally correct, this approach throws away most information related to the stochastic process setup. In this paper we consider the above problems with reference to parameter estimation of a gamma process. Using the derived bridge processes we propose estimators whose properties we investigate in contrast to the gamma-increments MLE. The proposed estimators have a smaller bias, comparable variance and offer a look at the time-evolution of the parameter estimation. Empirical results are presented. | en_GB |
dc.language.iso | en | en_GB |
dc.publisher | Springer | en_GB |
dc.rights | info:eu-repo/semantics/restrictedAccess | en_GB |
dc.subject | Lévy processes | en_GB |
dc.subject | Stochastic processes | en_GB |
dc.subject | Parameter estimation | en_GB |
dc.subject | Gamma functions | en_GB |
dc.subject | Dirichlet principle | en_GB |
dc.title | Incorporating the stochastic process setup in parameter estimation | en_GB |
dc.type | article | en_GB |
dc.rights.holder | The copyright of this work belongs to the author(s)/publisher. The rights of this work are as defined by the appropriate Copyright Legislation or as modified by any successive legislation. Users may access this work and can make use of the information contained in accordance with the Copyright Legislation provided that the author must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the prior permission of the copyright holder. | en_GB |
dc.description.reviewed | peer-reviewed | en_GB |
dc.identifier.doi | 10.1007/s11009-014-9426-3 | - |
dc.publication.title | Methodology and Computing in Applied Probability | en_GB |
Appears in Collections: | Scholarly Works - FacSciSOR |
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Incorporating_the_stochastic_process_setup_in_parameter_estimation_2015.pdf Restricted Access | 316.28 kB | Adobe PDF | View/Open Request a copy |
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