Sequential Maximum Likelihood Estimation for the Hyperbolic Diffusion Process
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| 024 | 7 | 0 | |a 10.1007/s11009-013-9362-7 |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s11009-013-9362-7 | ||
| 245 | 0 | 0 | |a Sequential Maximum Likelihood Estimation for the Hyperbolic Diffusion Process |h [Elektronische Daten] |c [Nenghui Kuang, Huantian Xie] |
| 520 | 3 | |a This paper investigates the properties of a sequential maximum likelihood estimator (SMLE) of the unknown parameter for the hyperbolic diffusion process. We derive the explicit formulas for the sequential estimator and its mean squared error (MSE). The estimator is proved to be closed, unbiased, normally distributed and strongly consistent. Finally a simulation study is presented to illustrate the efficiency of the estimator. | |
| 540 | |a Springer Science+Business Media New York, 2013 | ||
| 690 | 7 | |a Sequential maximum likelihood estimator |2 nationallicence | |
| 690 | 7 | |a Hyperbolic diffusion process |2 nationallicence | |
| 690 | 7 | |a Unbiasedness |2 nationallicence | |
| 690 | 7 | |a Mean squared error |2 nationallicence | |
| 690 | 7 | |a Efficiency |2 nationallicence | |
| 700 | 1 | |a Kuang |D Nenghui |u School of Mathematics and Computing Science, Hunan University of Science and Technology, 411201, Xiangtan, Hunan, People's Republic of China |4 aut | |
| 700 | 1 | |a Xie |D Huantian |u School of Mathematics and Statistics, Wuhan University, 430072, Wuhan, People's Republic of China |4 aut | |
| 773 | 0 | |t Methodology and Computing in Applied Probability |d Springer US; http://www.springer-ny.com |g 17/2(2015-06-01), 373-381 |x 1387-5841 |q 17:2<373 |1 2015 |2 17 |o 11009 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s11009-013-9362-7 |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s11009-013-9362-7 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Kuang |D Nenghui |u School of Mathematics and Computing Science, Hunan University of Science and Technology, 411201, Xiangtan, Hunan, People's Republic of China |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Xie |D Huantian |u School of Mathematics and Statistics, Wuhan University, 430072, Wuhan, People's Republic of China |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Methodology and Computing in Applied Probability |d Springer US; http://www.springer-ny.com |g 17/2(2015-06-01), 373-381 |x 1387-5841 |q 17:2<373 |1 2015 |2 17 |o 11009 | ||