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Robust parameter estimation for the Ornstein–Uhlenbeck process

✍ Scribed by Sonja Rieder

Book ID
126348942
Publisher
Springer
Year
2012
Tongue
English
Weight
389 KB
Volume
21
Category
Article
ISSN
1613-981X

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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

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It is shown that the suitably normalized maximum likelihood estimators of some parameters of multidimensional Ornstein Uhlenbeck processes with coefficient matrix of a special structure have exactly a normal distribution. This result provides a generalization to an arbitrary dimension of the well-kn