  In some non-regular statistical estimation problems, the limiting likelihood
processes are functionals of fractional Brownian motion (fBm) with Hurst's
parameter H; 0 < H <=? 1. In this paper we present several analytical and
numerical results on the moments of Pitman estimators represented in the form
of integral functionals of fBm. We also provide Monte Carlo simulation results
for variances of Pitman and asymptotic maximum likelihood estimators.
