Small Sample Estimation of Parameters for Wiener Process with Noise

被引：2

作者：

Zilinskas, Antanas ^{[1
]}

机构：

[1] Vilnius Univ, Inst Math & Informat, LT-08663 Vilnius, Lithuania

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2011年 / 40卷 / 16期

关键词：

Estimation; Statistical modeling; Statistical models of global optimization; Wiener process; OPTIMIZATION; MODELS;

D O I：

10.1080/03610926.2011.562788

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The problem of estimation of parameters using small samples of Wiener process values observed in the presence of noise is considered. Two versions of the maximum likelihood method are implemented as well as a combination of methods of maximum likelihood and of moments. A new hybrid method is proposed based on concepts of method of moments. Statistical modeling is applied to investigate the proposed method and to compare it with several other methods of similar purpose.

引用

页码：3020 / 3028

页数：9

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