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Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information
efficient estimation fractional Brownian motion Fisher information general monotone sequence regular variation slowly varying functions spectral density.
2012/9/18
Mimicking the maximum likelihood estimator, we construct first order Cramer-Rao efficient and explicitly computable estimators for the scale parameterσ2 in the model Zi,n =σn−βXi+Yi, i = 1, . . ...
The papex deals with the concept of robustness given
by Zielidski (see [17J and [18]). The uniformly most bias-robust
estimates of the scale parameter, based on order statistics and
spacings, for s...