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  • 8956980

    Accepted author manuscript, 325 KB, PDF-document

DOI

  • Eni Musta
  • M. Pratelli
  • D. Trevisan
We investigate the problems of drift estimation for a shifted Brownian motion and intensity estimation for a Cox process on a finite interval [0,T], when the risk is given by the energy functional associated to some fractional Sobolev space . In both situations, Cramér–Rao lower bounds are obtained, entailing in particular that no unbiased estimators (not necessarily adapted) with finite risk in exist. By Malliavin calculus techniques, we also study super-efficient Stein type estimators (in the Gaussian case).
Original languageEnglish
Pages (from-to)135-146
Number of pages12
JournalJournal of Multivariate Analysis
Volume154
DOIs
Publication statusPublished - 2017

    Research areas

  • Cramer–Rao bound, Stein phenomenon, Malliavin calculus, Cox model

ID: 8956980