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A Haar-like Construction for the Ornstein Uhlenbeck Process

✍ Scribed by Thibaud Taillefumier; Marcelo O. Magnasco

Publisher: Springer
Year: 2008
Tongue: English
Weight: 569 KB
Volume: 132
Category: Article
ISSN: 0022-4715
DOI: 10.1007/s10955-008-9545-8

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## Abstract This paper deals with optimal designs for Gaussian random fields with constant trend and exponential correlation structure, widely known as the Ornstein–Uhlenbeck process. Assuming the maximum likelihood approach, we study the optimal design problem for the estimation of the trend µ and