Seminars: A. A. Novikov, N. E. Kordzahiya, An approach to calculating the variance of Pitman estimators

SEMINARS


Principle Seminar of the Department of Probability Theory, Moscow State University February 9, 2011 16:45, Moscow, MSU, auditorium 12-25

An approach to calculating the variance of Pitman estimators A. A. Novikov^a, N. E. Kordzahiya^b ^a University of Technology, Sydney ^b Macquarie University, Sydney
Abstract: We provide an analytic formula for the variance of the Pitman estimator for a location parameter of independent observations and also some change-point estimators. We find the asymptotic variance in the schemes when the limit log-likelihood ratio process is a Brownian Motion or a Levy process with exponential jumps.