Local SIML Estimation of Brownian Functionals

  • Naoto Kunitomo
  • Seisho Sato
  • Daisuke Kurisu
Part of the SpringerBriefs in Statistics book series (BRIEFSSTATIST)


We introduce the local SIML (LSIML) method for estimating some Brownian functionals including the asymptotic variance of the SIML estimator. It is an extension of the basic SIML method and we show the usefulness of the LSIML method through simulations.


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Copyright information

© The Author(s) 2018

Authors and Affiliations

  1. 1.School of Political Science and EconomicsMeiji UniversityTokyoJapan
  2. 2.Graduate School of EconomicsThe University of TokyoBunkyo-kuJapan
  3. 3.School of EngeneeringTokyo Institute of TechnologyTokyoJapan

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