The Mean of a Maximum Likelihood Estimator Associated with the Brownian Bridge

Fuchang Gao (University of Idaho)

Abstract


A closed formula for the mean of a maximum likelihood estimator associated with the Brownian bridge is obtained; the exact relation with that of the Brownian motion is established.

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Pages: 1-5

Publication Date: February 3, 2003

DOI: 10.1214/ECP.v8-1064

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