Sequential Maximum Likelihood Estimation for the Parameter of the Linear Drift Term of the Rayleigh Diffusion Process-Reference-Cited by-同舟云学术

Sequential Maximum Likelihood Estimation for the Parameter of the Linear Drift Term of the Rayleigh Diffusion Process

Published:2015-02-01 Issue:1 Volume:16 Page:35-41
ISSN:1565-1339
Container-title:International Journal of Nonlinear Sciences and Numerical Simulation
language:
Short-container-title:

Author:

Kuang Nenghui,Li Chunli¹,Xie Huantian²

Affiliation:

1. 1School of Mathematics and Statistics, Wuhan University, Wuhan 430072, P.R. China

2. 3School of Science, Linyi University, Linyi, Shandong 276005, P.R. China

Abstract

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.

Publisher

Walter de Gruyter GmbH

Subject

Applied Mathematics,General Physics and Astronomy,Mechanics of Materials,Engineering (miscellaneous),Modelling and Simulation,Computational Mechanics,Statistical and Nonlinear Physics

Link

https://www.degruyter.com/document/doi/10.1515/ijnsns-2013-0101/pdf

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