## 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
Optimal control of an Ornstein-Uhlenbeck process
✍ Scribed by Mario Lefebvre
- Publisher
- Elsevier Science
- Year
- 1987
- Tongue
- English
- Weight
- 374 KB
- Volume
- 24
- Category
- Article
- ISSN
- 0304-4149
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The exact distribution of the sufficient statistics and distribution of the maximum likelihood estimator of the drift (damping) parameter in a stationary complex Ornstein-Uhlenbeck process, given by (1.1), is investigated. Complete tables of the distribution function for different levels are given b
An asymptotic analysis is presented for estimation in the three-parameter Ornstein-Uhlenbeck process, where the parameters are the local mean, the drift, and the variance. We are interested in the case when the damping parameter (A, or AT = s) is nearly zero. The asymptotic sufficient statistics can