Notes on estimating inverse-Gaussian and gamma subordinators under high-frequency sampling
نویسندگان
چکیده
منابع مشابه
ESTIMATING THE MEAN OF INVERSE GAUSSIAN DISTRIB WTION WITH KNOWN COEFFICIENT OF VARIATION UNDER ENTROPY LOSS
An estimation problem of the mean µ of an inverse Gaussian distribution IG(µ, C µ) with known coefficient of variation c is treated as a decision problem with entropy loss function. A class of Bayes estimators is constructed, and shown to include MRSE estimator as its closure. Two important members of this class can easily be computed using continued fractions
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ژورنال
عنوان ژورنال: Annals of the Institute of Statistical Mathematics
سال: 2007
ISSN: 0020-3157,1572-9052
DOI: 10.1007/s10463-007-0131-7