Optimal designs for parameter estimation of the Ornstein-Uhlenbeck process

Applied Stochastic Models in Business and Industry

Volumn 25, Issue 5, 2009, Pages 583-600

  Zagoraiou, Maroussa ^a   Antognini, Alessandro Baldi ^a  

^a UNIVERSITY OF BOLOGNA   (Italy)

Author keywords

Correlated observations; Fisher information matrix; Gaussian processes; Kriging; Maximum likelihood estimation

Indexed keywords

CORRELATED OBSERVATIONS; CORRELATION PARAMETERS; EXPONENTIAL CORRELATION; GAUSSIAN PROCESSES; GAUSSIAN RANDOM FIELDS; GEOMETRIC PROGRESSIONS; HIGH EFFICIENCY; KRIGING; MAXIMUM LIKELIHOOD APPROACHES; OPTIMAL DESIGN; OPTIMAL STRATEGIES; OPTIMALITY; ORNSTEIN-UHLENBECK PROCESS; SAMPLE SIZES; TREND ESTIMATION; UNKNOWN PARAMETERS;

DESIGN; FISHER INFORMATION MATRIX; GAUSSIAN DISTRIBUTION; GAUSSIAN NOISE (ELECTRONIC); OPTIMAL SYSTEMS; OPTIMIZATION; PARAMETER ESTIMATION;

MAXIMUM LIKELIHOOD ESTIMATION;

EID: 70450164064     PISSN: 15241904     EISSN: 15264025     Source Type: Journal    
DOI: 10.1002/asmb.749     Document Type: Article

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