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Statistical Inference about the Drift Parameter in Stochastic Processes

David Stibůrek — 2013

Acta Universitatis Palackianae Olomucensis. Facultas Rerum Naturalium. Mathematica

In statistical inference on the drift parameter a in the Wiener process with a constant drift Y t = a t + W t there is a large number of options how to do it. We may, for example, base this inference on the properties of the standard normal distribution applied to the differences between the observed values of the process at discrete times. Although such methods are very simple, it turns out that more appropriate is to use the sequential methods. For the hypotheses testing about the drift parameter it is more...

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