AN UNBIASED ESTIMATOR FOR THE DRIFT OF A STOPPED WIENER PROCESS

被引：8

作者：

FEREBEE, B

机构：

来源：

JOURNAL OF APPLIED PROBABILITY | 1983年 / 20卷 / 01期

关键词：

D O I：

10.2307/3213723

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

An unbiased estimator is given for the drift of a Wiener process which is observed up to a stopping time. For first-passage times across a moving boundary the estimator can be calculated by a simple modification of standard computer programs for computing the first-passage density. Examples and interpretations of the estimator are given.

引用

页码：94 / 102

页数：9