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Sequential Maximum Likelihood Estimation for the Hyperbolic Diffusion Process

  • Nenghui Kuang
  • Huantian Xie
Article

Abstract

This paper investigates the properties of a sequential maximum likelihood estimator (SMLE) of the unknown parameter for the hyperbolic diffusion process. We derive the explicit formulas for the sequential estimator and its mean squared error (MSE). The estimator is proved to be closed, unbiased, normally distributed and strongly consistent. Finally a simulation study is presented to illustrate the efficiency of the estimator.

Keywords

Sequential maximum likelihood estimator Hyperbolic diffusion process Unbiasedness Mean squared error Efficiency 

AMS 2000 Subject Classifications

60H10 62F99 

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Copyright information

© Springer Science+Business Media New York 2013

Authors and Affiliations

  1. 1.School of Mathematics and Computing ScienceHunan University of Science and TechnologyXiangtanPeople’s Republic of China
  2. 2.School of Mathematics and StatisticsWuhan UniversityWuhanPeople’s Republic of China
  3. 3.School of ScienceLinyi UniversityLinyiPeople’s Republic of China

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