Optimal designs for parameter estimation of the Ornstein-Uhlenbeck process

DOI10.1002/asmb.749zbMath1224.62036MaRDI 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 estimation; Gaussian processes; correlated observations; Fisher information matrix; Kriging

Mathematics Subject Classification ID

62K05: Optimal statistical designs

62M05: Markov processes: estimation; hidden Markov models

Related Items

Optimality of equidistant sampling designs for the Brownian motion with a quadratic drift, Design of computer experiments: space filling and beyond, Exact optimal designs for computer experiments via kriging metamodelling, 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

Uses Software

• spatial

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