Sequential Maximum Likelihood Estimation for the Parameter of the Linear Drift Term of the Rayleigh Diffusion Process
2015 ◽
Vol 16
(1)
◽
pp. 35-41
Keyword(s):
AbstractIn this paper, we investigate the properties of a sequential maximum likelihood estimator of the unknown linear drift parameter for the Rayleigh diffusion process. The estimator is shown to be closed, unbiased, normally distributed and strongly consistent. Finally a simulation study is presented to illustrate the efficiency of the estimator.
2021 ◽
Vol 8
(1)
◽
2019 ◽
Vol 10
(1)
◽
pp. 51-84
◽
2009 ◽
Vol 41
(04)
◽
pp. 978-1001
◽
2021 ◽