Publication: Maximum likelihood estimator for the drift of a Brownian flow
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Abstract
The maximum likelihood estimator for the drift of a Brownian flow on R-d, d greater than or equal to 2, is found with the assumption that the covariance is known. By approximation of the drift with known functions, the statistical model is reduced to a parametric one that is a curved exponential family. The data is the n-point motion of the Brownian flow throughout the time interval [0, T]. The asymptotic properties of the MLE are also investigated.
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Wiley
Subject
Operations research and management science, Mathematics, interdisciplinary applications, Statistics and probability
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Applied Stochastic Models in Business and Industry