Sequential Maximum Likelihood Estimation for the Parameter of the Linear Drift Term of the Rayleigh Diffusion Process
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Nenghui Kuang
,
Chunli Li
Abstract
In this paper, we investigate the properties of a sequential maximum likelihood estimator of the unknown linear drift parameter for the Rayleigh diffusion process. The estimator is shown to be closed, unbiased, normally distributed and strongly consistent. Finally a simulation study is presented to illustrate the efficiency of the estimator.
Funding statement: Funding: This research was supported by the National Natural Science Foundation of China under Grant 11171262, 11101137 and 61473213 and by the Natural Science Foundation of Hunan Province under Grant 2015JJ2055 and by the Education Department Foundation of Hunan Province under Grant 14C0456.
Acknowledgments
The authors would like to thank two reviewers for their careful reading and comments. Those comments and suggestions were valuable and very helpful for revising and improving the manuscript. In addition, the authors are very grateful to Professor F.Q. Gao for the useful discussions.
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Artikel in diesem Heft
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- ICEEM07: Three-Dimensional Flow Optimization of a Pneumatic Pulsator Nozzle with a Continuous Adjoint
- Homogeneous Sono-Fenton Process: Statistical Modeling and Global Sensitivity Analysis
- Mathematical Characterization of Bénard-Type Geothermal Scenarios Using Discriminated Non-dimensionalization of the Governing Equations
- Sequential Maximum Likelihood Estimation for the Parameter of the Linear Drift Term of the Rayleigh Diffusion Process
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Artikel in diesem Heft
- Frontmatter
- A Short Remark on WAN Model for Electrospinning and Bubble Electrospinning and Its Development
- ICEEM07: Three-Dimensional Flow Optimization of a Pneumatic Pulsator Nozzle with a Continuous Adjoint
- Homogeneous Sono-Fenton Process: Statistical Modeling and Global Sensitivity Analysis
- Mathematical Characterization of Bénard-Type Geothermal Scenarios Using Discriminated Non-dimensionalization of the Governing Equations
- Sequential Maximum Likelihood Estimation for the Parameter of the Linear Drift Term of the Rayleigh Diffusion Process
- A Class of Exact Solution of (3+1)-Dimensional Generalized Shallow Water Equation System
- Dynamically Induced Magnetic Moment of a Magnetic Dipole System
