Семинары: А. А. Новиков, Н. Е. Кордзахия, An approach to calculating the variance of Pitman estimators

СЕМИНАРЫ


Большой семинар кафедры теории вероятностей МГУ 9 февраля 2011 г. 16:45, г. Москва, ГЗ МГУ, ауд. 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
Аннотация: 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.