The Mean of a Maximum Likelihood Estimator Associated with the Brownian Bridge
نویسندگان
چکیده
منابع مشابه
The Mean of a Maximum Likelihood Estima- Tor Associated with the Brownian Bridge
A closed formula for the mean of a maximum likelihood estimator associated with the Brownian bridge is obtained; the exact relation with that of the Brownian motion is established. Introduction Let Xt, t ∈ T , be a Gaussian process, and μ be a probability measure on T . To avoid measurability questions, we take T as finite. Denote Xμ = ∫ T Xt μ(dt). Consider the following maximum likelihood est...
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ژورنال
عنوان ژورنال: Electronic Communications in Probability
سال: 2003
ISSN: 1083-589X
DOI: 10.1214/ecp.v8-1064