Statistical Inference about the Drift Parameter in Stochastic Processes

David Stibůrek

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Petr Lachout (2004)

Acta Universitatis Carolinae. Mathematica et Physica

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On cumulative process model and its statistical analysis

Petr Volf (2000)

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The notion of the counting process is recalled and the idea of the ‘cumulative’ process is presented. While the counting process describes the sequence of events, by the cumulative process we understand a stochastic process which cumulates random increments at random moments. It is described by an intensity of the random (counting) process of these moments and by a distribution of increments. We derive the martingale – compensator decomposition of the process and then we study the estimator...

Linear transformations of Wiener process that born Wiener process, Brownian bridge or Ornstein-Uhlenbeck process

Petr Lachout (2001)

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The paper presents a discussion on linear transformations of a Wiener process. The considered processes are collections of stochastic integrals of non-random functions w.r.t. Wiener process. We are interested in conditions under which the transformed process is a Wiener process, a Brownian bridge or an Ornstein –Uhlenbeck process.

Self-similar processes in collective risk theory.

Michna, Zbigniew (1998)

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