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Maximum likelihood estimator for the drift of a Brownian flow

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dc.contributor.departmentDepartment of Mathematics
dc.contributor.kuauthorÇağlar, Mine
dc.contributor.schoolcollegeinstituteCollege of Sciences
dc.date.accessioned2024-11-09T23:37:34Z
dc.date.issued2000
dc.description.abstractThe 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.
dc.description.indexedbyWOS
dc.description.indexedbyScopus
dc.description.issue1
dc.description.openaccessNO
dc.description.publisherscopeInternational
dc.description.sponsoredbyTubitakEuN/A
dc.description.volume16
dc.identifier.issn1524-1904
dc.identifier.quartileQ3
dc.identifier.scopus2-s2.0-0342954829
dc.identifier.urihttps://hdl.handle.net/20.500.14288/12852
dc.identifier.wos87309300003
dc.keywordsBrownian flows
dc.keywordsMaximum likelihood estimation
dc.keywordsFunctions approximation
dc.keywordsOceanography
dc.language.isoeng
dc.publisherWiley
dc.relation.ispartofApplied Stochastic Models in Business and Industry
dc.subjectOperations research and management science
dc.subjectMathematics, interdisciplinary applications
dc.subjectStatistics and probability
dc.titleMaximum likelihood estimator for the drift of a Brownian flow
dc.typeJournal Article
dspace.entity.typePublication
local.contributor.kuauthorÇağlar, Mine
local.publication.orgunit1College of Sciences
local.publication.orgunit2Department of Mathematics
relation.isOrgUnitOfPublication2159b841-6c2d-4f54-b1d4-b6ba86edfdbe
relation.isOrgUnitOfPublication.latestForDiscovery2159b841-6c2d-4f54-b1d4-b6ba86edfdbe
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relation.isParentOrgUnitOfPublication.latestForDiscoveryaf0395b0-7219-4165-a909-7016fa30932d

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