caa a22 4500 605519838 CHVBK 20210128100732.0 cr unu---uuuuu 210128e20151201xx s 000 0 eng 10.1007/s11009-014-9426-3 doi (NATIONALLICENCE)springer-10.1007/s11009-014-9426-3 Incorporating the Stochastic Process Setup in Parameter Estimation [Elektronische Daten] [Lino Sant, Mark Caruana] 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. Springer Science+Business Media New York, 2014 Levy processes nationallicence Gamma process nationallicence Bridge process nationallicence Dirichlet distribution nationallicence Sant Lino Faculty of Science, Department of Statistics and Operations Research, University of Malta, Msida, Malta aut Caruana Mark Faculty of Science, Department of Statistics and Operations Research, University of Malta, Msida, Malta aut Methodology and Computing in Applied Probability Springer US; http://www.springer-ny.com 17/4(2015-12-01), 1029-1036 1387-5841 17:4<1029 2015 17 11009 https://doi.org/10.1007/s11009-014-9426-3 text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s11009-014-9426-3 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Sant Lino Faculty of Science, Department of Statistics and Operations Research, University of Malta, Msida, Malta aut NATIONALLICENCE 700 1- Caruana Mark Faculty of Science, Department of Statistics and Operations Research, University of Malta, Msida, Malta aut NATIONALLICENCE 773 0- Methodology and Computing in Applied Probability Springer US; http://www.springer-ny.com 17/4(2015-12-01), 1029-1036 1387-5841 17:4<1029 2015 17 11009