题  目：Pitman estimators: an asymptotic variance revisited

报告人： Alexander Novikov, University of Technology, Sydney,

              Joint work with Nino Kordzakhia, Macquarie University, Sydney and Timothy G. Ling University of Technology, Sydney

时  间：5月17日，下午4:30-5:30

地  点：管理科研楼1018

Abstract：We provide an analytic expression for the variance of ratio of integral functionals which arises as an asymptotic variance of Pitman estimators for a location parameter of independent identical distributed observations. The expression is obtained in terms of derivatives of logarithmic moments of the integral functional of Limit Likelihood Ratio Process (LLRP). In the particular case, when the LLRP is a geometric Brownian motion we show that the established expression leads to the representation of the asymptotic variance of Pitman estimator in terms of the Riemann zeta-function.

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