Estimators for the Drift of Subfractional Brownian Motion |
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| Authors: | Guangjun Shen Litan Yan |
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| Institution: | 1. Department of Mathematics, Anhui Normal University, Wuhu, P.R. China;2. Department of Mathematics, Donghua University, Shanghai, P.R. China |
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| Abstract: | In this paper, we consider, using technique based on Girsanov theorem, the problem of efficient estimation for the drift of subfractional Brownian motion SH ? (SHt)t ∈ 0, T]. We also construct a class of biased estimators of James-Stein type which dominate, under the usual quadratic risk, the natural maximum likelihood estimator. |
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| Keywords: | James-Stein estimator Maximum likelihood estimator Subfractional Brownian motion |
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