Optimal designs for parameter estimation of the Ornstein-Uhlenbeck process

DOI10.1002/asmb.749zbMath1224.62036OpenAlexW4256014445MaRDI QIDQ3077492

Alessandro Baldi Antognini, Maroussa Zagoraiou

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

maximum likelihood estimationGaussian processescorrelated observationsFisher information matrixKriging

Mathematics Subject Classification ID

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

Related Items (9)

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

Uses Software

• spatial

Cites Work

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

This page was built for publication: Optimal designs for parameter estimation of the Ornstein-Uhlenbeck process