Linear sufficiency and linear admissibility in a continuous time Gauss-Markov model

P. Ibarrola and A. Pérez-Palomares

Journal of Multivariate Analysis, 2003, vol. 87, issue 2, 315-327

Abstract: This paper considers the problem of estimation in a linear model when a stochastic process instead of a random vector is observed. Estimators obtained as integrals of the observed process are studied. Characterizations of linear sufficiency and admissibility similar to those given in the classical linear model are obtained in this context. Moreover, a definition of generalized ridge estimators in continuous time is introduced and also a characterization of such estimators is given.

Keywords: Gauss-Markov; model; Continuous; time; Linear; sufficiency; Linear; admissibility; Ridge; estimator (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (3)

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