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arXiv · 1404.4452

Bias-correction of the maximum likelihood estimator for the $α$-Brownian bridge

Maik Görgens·Måns Thulin
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Abstract

The $α$-Brownian bridge, or scaled Brownian bridge, is a generalization of the Brownian bridge with a scaling parameter that determines how strong the force that pulls the process back to 0 is. The bias of the maximum likelihood estimator of the parameter $α$ is derived and a bias-correction that improves the estimator substantially is proposed. The properties of the bias-corrected estimator and four Bayesian estimators based on non-informative priors are evaluated in a simulation study.

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Maik Görgens, Måns Thulin. 2014-04-17. Bias-correction of the maximum likelihood estimator for the $α$-Brownian bridge. https://doi.org/10.1016/j.spl.2014.06.020

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