scholarly journals Berry-Esseen Bounds for Approximate Maximum Likelihood Estimators in the α-Brownian Bridge

2021 ◽  
Vol 2 (2) ◽  
Author(s):  
Khalifa Es-Sebaiy ◽  
Jabrane Moustaaid ◽  
Idir Ouassou
Keyword(s):  
Maximum Likelihood ◽  
Brownian Bridge ◽  
Maximum Likelihood Estimators ◽  
Approximate Maximum Likelihood

scholarly journals Shrinkage Estimators for the Exponential Scale Parameter under Multiply Type II Censoring

2016 ◽  
Vol 34 (1) ◽  
Author(s):  
Umesh Singh ◽  
Anil Kumar
Keyword(s):  
Maximum Likelihood ◽  
Exponential Distribution ◽  
Scale Parameter ◽  
Maximum Likelihood Estimators ◽  
Shrinkage Estimators ◽  
Type Ii ◽  
Approximate Maximum Likelihood ◽  
Type Ii Censoring ◽  
Mean Squared Errors

We consider the problem of estimating the scale parameter of an exponential distribution under multiply type II censoring when a prior point guess of the parameter value is available. Shrinkage estimators are obtained from the approximate maximum likelihood estimators proposed in Singh et al. (2004) and in Balasubramanian and Balakrishnan (1992). These estimators are then compared by their simulated mean squared errors.

scholarly journals A New Algorithm for Approximate Maximum Likelihood Estimation in Sub-fractional Chan-Karolyi-Longstaff-Sanders Model

2021 ◽  
pp. 62-88
Author(s):  
Jaya P. N. Bishwal
Keyword(s):  
Maximum Likelihood ◽  
Interest Rate ◽  
Interest Rates ◽  
Maximum Likelihood Estimators ◽  
Likelihood Estimation ◽  
Rates Of Convergence ◽  
Rate Model ◽  
Approximate Maximum Likelihood ◽  
Medium Range ◽  
Interest Rate Model

The paper introduces several approximate maximum likelihood estimators of the parameters of the sub-fractional Chan-Karolyi-Longstaff-Sanders (CKLS) interest rate model and obtains their rates of convergence. A new algorithm inspired by Newton-Cotes formula is presented to improve the accuracy of estimation. The estimators are useful for simulation of interest rates. The proposed new algorithm could be useful for other stochastic computation. It also proposes a generalization of the CKLS interest rate model with sub-fractional Brownian motion drivers which preserves medium range memory.

Sign in / Sign up

Export Citation Format

Share Document