Small sample estimation of parameters for Wiener process with noise

DOI10.1080/03610926.2011.562788MaRDI QIDQ3098937zbMATH OpenOpenAlexFDO

Authors Antanas Žilinskas

Publication date 18 November 2011

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2011.562788

zbMATH Keywords

statistical modelingstatistical models of global optimization

Mathematics Subject Classification ID

Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes and fuzziness (62M86) Nonconvex programming, global optimization (90C26)

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Cites work

• A one-dimensional optimization algorithm and its convergence rate under the Wiener measure
• A versatile stochastic model of a function of unknown and time varying form
• An estimate of the Wiener process parameter
• Average performance of a class of adaptive algorithms for global optimization
• Axiomatic approach to statistical models and their use in multimodal optimization theory
• Fitting three-parameter lognormal models by numerical global optimization - an improved algorithm
• On similarities between two models of global optimization: Statistical models and radial basis functions
• Two algorithms for one-dimensional multimodai minimization

Cited in

(1)

• On strong homogeneity of two global optimization algorithms based on statistical models of multimodal objective functions

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