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Bias-correction of the maximum likelihood estimator for the α-Brownian bridge

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  • Görgens, Maik
  • Thulin, Måns

Abstract

The bias of the maximum likelihood estimator of the parameter α in the α-Brownian bridge is derived. A bias-correction which improves the estimator substantially is proposed. The corrected estimator and Bayesian estimators are compared in a simulation study.

Suggested Citation

  • Görgens, Maik & Thulin, Måns, 2014. "Bias-correction of the maximum likelihood estimator for the α-Brownian bridge," Statistics & Probability Letters, Elsevier, vol. 93(C), pages 78-86.
    • Handle: RePEc:eee:stapro:v:93:y:2014:i:c:p:78-86
    DOI: 10.1016/j.spl.2014.06.020
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    References listed on IDEAS

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    1. Brennan, Michael J & Schwartz, Eduardo S, 1990. "Arbitrage in Stock Index Futures," The Journal of Business, University of Chicago Press, vol. 63(1), pages 7-31, January.
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    5. Zhao, Shoujiang & Zhou, Yanping, 2013. "Sharp large deviations for the log-likelihood ratio of an α-Brownian bridge," Statistics & Probability Letters, Elsevier, vol. 83(12), pages 2750-2758.
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