Estimator of variance of Wiener process based on its integral
Commentationes Mathematicae Universitatis Carolinae (1986)
- Volume: 027, Issue: 4, page 737-740
- ISSN: 0010-2628
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topHerbst, Tomáš. "Estimator of variance of Wiener process based on its integral." Commentationes Mathematicae Universitatis Carolinae 027.4 (1986): 737-740. <http://eudml.org/doc/17499>.
@article{Herbst1986,
author = {Herbst, Tomáš},
journal = {Commentationes Mathematicae Universitatis Carolinae},
keywords = {Kalman filter; consistent unbiased estimator; variance; Wiener process},
language = {eng},
number = {4},
pages = {737-740},
publisher = {Charles University in Prague, Faculty of Mathematics and Physics},
title = {Estimator of variance of Wiener process based on its integral},
url = {http://eudml.org/doc/17499},
volume = {027},
year = {1986},
}
TY - JOUR
AU - Herbst, Tomáš
TI - Estimator of variance of Wiener process based on its integral
JO - Commentationes Mathematicae Universitatis Carolinae
PY - 1986
PB - Charles University in Prague, Faculty of Mathematics and Physics
VL - 027
IS - 4
SP - 737
EP - 740
LA - eng
KW - Kalman filter; consistent unbiased estimator; variance; Wiener process
UR - http://eudml.org/doc/17499
ER -
References
top- K. J. ASTRÖM, Introduction to Stochastic Control Theory, New York - London, 1970, Academic Press. (1970) MR0270799
- T. HERBST, Integral of Wiener process and its functionals, Diploma thesis, Charles University Prague, 1986, in Czech. (1986)
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