On the smoothness properties of the best linear unbiased estimate of a stochastic process observed with noise

DOI10.1214/aos/1176346270zbMath0525.93058OpenAlexW2048698976MaRDI QIDQ594824

Craig F. Ansley, Robert Kohn

Publication date: 1983

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176346270

zbMATH Keywords

best linear unbiased estimatesmoothness propertiesvector stochastic process

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Estimation and detection in stochastic control theory (93E10)

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