Suppose $x(t)$ is a vector stochastic process generated by a first order differential equation and $f(t)$ is a linear combination of the elements of $x(t)$. Functionals of $x(t)$ are observed with noise. We obtain the smoothness properties of the best linear unbiased estimate of $f(t)$, and those of its derivatives that exist. In addition we obtain the smoothness properties of their mean squared errors.
Publié le : 1983-09-14
Classification:
Smoothness properties,
stochastic process,
best linear unbiased estimate,
60635
@article{1176346270,
author = {Kohn, Robert and Ansley, Craig F.},
title = {On the Smoothness Properties of the Best Linear Unbiased Estimate of a Stochastic Process Observed with Noise},
journal = {Ann. Statist.},
volume = {11},
number = {1},
year = {1983},
pages = { 1011-1017},
language = {en},
url = {http://dml.mathdoc.fr/item/1176346270}
}
Kohn, Robert; Ansley, Craig F. On the Smoothness Properties of the Best Linear Unbiased Estimate of a Stochastic Process Observed with Noise. Ann. Statist., Tome 11 (1983) no. 1, pp. 1011-1017. http://gdmltest.u-ga.fr/item/1176346270/