Maximum Likelihood Drift Estimation for Gaussian Process with Stationary Increments
The paper deals with the regression model X_t = \theta t + B_t , t\in[0, T ], where B=\{B_t, t\geq 0\} is a centered Gaussian process with stationary increments. We study the estimation of the unknown parameter $\theta$ and establish the formula for the likelihood function in terms of a solution to...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Austrian Statistical Society
2017-04-01
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| Series: | Austrian Journal of Statistics |
| Online Access: | http://www.ajs.or.at/index.php/ajs/article/view/672 |