LJKProbability & Statistics Seminar

On Thursday January 14 2016 at 14h00 in Salle 2  Tour IRMA

Seminary of Mme Nino KORDZAKHIA (MacQuarie University, Sydney)

On moments of Pitman estimators

Summary

The limit theorems for likelihood ratio processes provide a tool for derivation of asymptotic properties of parameter estimators. In the scheme of independent and identically distributed observations, the problem of estimation of a location parameter was first studied by E. J. G. Pitman. He showed that, the generalised Bayesian estimator with the uniform prior (i.e. Pitman estimator), has the minimum variance in the class of equivariant estimators.
In some cases, the limiting likelihood processes are generated by fractional Brownian motion with Hurst's parameter H, 0 < H ≤ 1 (H = 1 corresponds to LAN property).
For these cases we present some results on the moments of limit distribution of Pitman estimators. The Monte Carlo simulation results will be provided for the limit variance of Pitman estimators.
