Is the Brownian bridge a good noise model on the boundary of a circle?

DOI10.1007/S10463-015-0546-5MaRDI QIDQ520566zbMATH OpenOpenAlexFDO

Authors Giacomo Aletti, Matteo Ruffini

Publication date 5 April 2017

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1210.8245

zbMATH Keywords

Fourier transformGaussian processesKarhunen-Loève's theoremmaximum likelihoodperiodic processesstationary processes

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Gaussian processes (60G15) Sample path properties (60G17) Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and spectral analysis (62M15)

Abstract: In this paper we study periodical stochastic processes, and we define the conditions that are needed by a model to be a good noise model on the circumference. The classes of processes that fit the required conditions are studied together with their expansion in random Fourier series in order to provide results about their path regularity. Finally, we discuss a simple and flexible parametric model with prescribed regularity that is used in applications, and we prove the asymptotic properties of the maximum likelihood estimates of model parameters.

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Cites work

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Cited in

(1)

• On Lévy's Brownian motion and white noise space on the circle

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