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On minimum L1-norm estimate of the parameter of the Ornstein—Uhlenbeck process

✍ Scribed by Y. Kutoyants; P. Pilibossian

Publisher
Elsevier Science
Year
1994
Tongue
English
Weight
314 KB
Volume
20
Category
Article
ISSN
0167-7152

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📜 SIMILAR VOLUMES

Optimal designs for parameter estimation
Optimal designs for parameter estimation of the Ornstein–Uhlenbeck process
✍ Maroussa Zagoraiou; Alessandro Baldi Antognini 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 152 KB 👁 2 views

## 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