Optimal design for parameter estimation of the Ornstein-Uhlenbeck process

DOI10.1002/ASMB.749MaRDI QIDQ3077492zbMATH OpenOpenAlexFDO

Authors Maroussa Zagoraiou, Alessandro Baldi Antognini

Publication date 22 February 2011

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.749

zbMATH Keywords

correlated observationsFisher information matrixGaussian processesKrigingmaximum likelihood estimation

Mathematics Subject Classification ID

Optimal statistical designs (62K05) Markov processes: estimation; hidden Markov models (62M05)

Recommendations

• Equidistant and \(D\)-optimal designs for parameters of Ornstein-Uhlenbeck process
• D-optimal designs for complex Ornstein-Uhlenbeck processes
• K-optimal designs for parameters of shifted Ornstein-Uhlenbeck processes and sheets
• Planning of experiments for a nonautonomous Ornstein-Uhlenbeck process
• Optimal designs for parameters of shifted Ornstein-Uhlenbeck sheets measured on monotonic sets

Cites work

• An algorithm for the computation of optimum designs under a given covariance structure
• Application-driven sequential designs for simulation experiments: Kriging metamodelling
• Comparison of designs for computer experiments
• Criteria for optimal design of small-sample experiments with correlated observations
• Fisher information and maximum-likelihood estimation of covariance parameters in Gaussian stochastic processes
• Inequalities: theory of majorization and its applications
• Interpolation of spatial data. Some theory for kriging
• Maximum likelihood estimation of parameters under a spatial sampling scheme
• Measures for designs in experiments with correlated errors
• Optimal allocation of bioassays in the case of parametrized covariance functions: an application to lung's retention of radioactive particles
• Spatial sampling design for parameter estimation of the covariance function
• Statistics for spatial data
• The design and analysis of computer experiments.
• Towards reconciling two asymptotic frameworks in spatial statistics

Cited in

(12)

• D-optimal designs for complex Ornstein-Uhlenbeck processes
• Optimal designs for some bivariate cokriging models
• Financial and risk modelling with semicontinuous covariances
• Optimal designs for parameters of shifted Ornstein-Uhlenbeck sheets measured on monotonic sets
• K-optimal designs for parameters of shifted Ornstein-Uhlenbeck processes and sheets
• Ultimate efficiency of experimental designs for Ornstein-Uhlenbeck type processes
• On the optimal designs for the prediction of Ornstein-Uhlenbeck sheets
• Optimality of equidistant sampling designs for the Brownian motion with a quadratic drift
• G-optimal grid designs for kriging models
• Design of computer experiments: space filling and beyond
• Equidistant and \(D\)-optimal designs for parameters of Ornstein-Uhlenbeck process
• Exact optimal designs for computer experiments via kriging metamodelling

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