Fixed width interval estimation for the reciprocal drift of Brownian motion (Q1193966)
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scientific article; zbMATH DE number 63550
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fixed width interval estimation for the reciprocal drift of Brownian motion |
scientific article; zbMATH DE number 63550 |
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Fixed width interval estimation for the reciprocal drift of Brownian motion (English)
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27 September 1992
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First entrance times are designed to center interval estimates for the reciprocal drift of Brownian motion. The performance of the procedure is studied in terms of convergence of the coverage probability and of risk with respect to suitable loss functions.
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Stein's identity
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first entrance times
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interval estimates
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reciprocal drift of Brownian motion
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convergence of the coverage probability
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risk
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loss functions
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