Estimation of the mean of stationary and nonstationary Ornstein-Uhlenbeck processes and sheets

DOI10.1016/S0898-1221(03)00017-8zbMath1031.62065MaRDI QIDQ1416416

Gyula Pap, Sándor Baran, Martien C. A. Van Zuijlen

Publication date: 14 December 2003

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

zbMATH Keywords

Maximum likelihood estimationRadon-Nikodym derivativeOrnstein-Uhlenbeck sheetWiener sheet

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05)

Related Items (11)

Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes ⋮ K-optimal designs for parameters of shifted Ornstein-Uhlenbeck processes and sheets ⋮ On the optimal designs for the prediction of Ornstein-Uhlenbeck sheets ⋮ A mathematical framework for new fault detection schemes in nonlinear stochastic continuous-time dynamical systems ⋮ Examples of random fields that can be represented as space-domain scaled stationary Ornstein-Uhlenbeck fields ⋮ Estimation of the mean of stationary and nonstationary Ornstein-Uhlenbeck processes and sheets ⋮ Estimation for Translation of a Process Driven by Fractional Brownian Motion ⋮ Asymptotic inference for spatial autoregression and orthogonality of Ornstein-Uhlenbeck sheets ⋮ Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion ⋮ Parameter estimation of a shifted Wiener sheet ⋮ Optimal designs for parameters of shifted Ornstein-Uhlenbeck sheets measured on monotonic sets

Cites Work

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• Linear stochastic systems with constant coefficients. A statistical approach
• Gaussian measures in Banach spaces
• Estimation of the mean of stationary and nonstationary Ornstein-Uhlenbeck processes and sheets
• Likelihood ratios and transformation of probability associated with two-parameter Wiener processes
• Stochastic processes and statistical inference

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