|
Teoriya Veroyatnostei i ee Primeneniya, 1973, Volume 18, Issue 4, Pages 804–808
(Mi tvp4368)
|
|
|
|
Short Communications
Estimation of the mean of a Wiener process observed on an infinite interval
I. Sh. Ibramhalilov, A. V. Skorokhod
Abstract:
Let $\omega(t)$ be a Wiener process, $\mathbf{M}\omega(t)=0$, $\mathbf{D}\omega(t)=t$, $\varphi(t)$, $t\in[0,\infty]$ be a function form a set $M\subset C_{[0,\infty)}$ and $x(t)=\omega(t)+\varphi(t)$ be the observation process.
In the paper, conditions on the set $M$ are given under which there exist a consistent estimate of $\varphi$.
Received: 28.09.1972
Citation:
I. Sh. Ibramhalilov, A. V. Skorokhod, “Estimation of the mean of a Wiener process observed on an infinite interval”, Teor. Veroyatnost. i Primenen., 18:4 (1973), 804–808; Theory Probab. Appl., 18:4 (1974), 767–771
Linking options:
https://www.mathnet.ru/eng/tvp4368 https://www.mathnet.ru/eng/tvp/v18/i4/p804
|
|