Estimation for Infinite Dimensional Ornstein-Uhlenbeck Processes.

reportActive / Technical Report | Accession Number: ADA135372 | Open PDF

Abstract:

The maximum likelihood estimator for parameters in the generating operator of an infinite dimensional Ornstein-Uhlenbeck process is shown to be consistent and asymptotically normal. The generating operator of the process is assumed to be in the form of a finite linear combination of fixed commuting dissipating operators and the coefficients in the linear combination represent the unknown parameters. Author

Author(s):
Mckeague, I. W.
Author Organization(s):
FLORIDA STATE UNIV TALLAHASSEE DEPT OF STATISTICS
Descriptive Note:
Technical rept.,
Supplementary Note:
DOI: 10.21236/ADA135372
Pagination:
0012

Security Markings

DOCUMENT & CONTEXTUAL SUMMARY

Distribution:
Approved For Public Release

RECORD

Collection: TR
Identifying Numbers
Report Number(s):
FSU-STATISTICS-M674, USARO-TR-D-65
Contract/Grant Number(s):
DAAG29-82-K-0168
Monitor Series:
19367.8-MA
 Subject Terms
Joint Capability Areas:
JCA_1.2_Force Preparation; JCA_1_Force Support; JCA_1.2.3_Educating; JCA_5_Command and Control
Communities of Interest:
Materials and Manufacturing Processes
Descriptor(s):
*Maximum likelihood estimation, *Operators(Mathematics), Parameters, Asymptotic normality, Consistency, Coefficients, Infinite series, Statistical inference, Linear systems, Stochastic processes
Field(s)/Group(s):
Statistics and Probability
Keyword(s):
Ornstein Uhlenbeck processes
Report Date:
1983 Oct 01