Maximum likelihood estimator for the drift of a Brownian flow

Mi̇ne Çag̃lar

Applied Stochastic Models in Business and Industry, 2000, vol. 16, issue 1, 23-33

Abstract: The maximum likelihood estimator for the drift of a Brownian flow on ℝd, d ⩾ 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. Copyright © 2000 John Wiley & Sons, Ltd.

Date: 2000
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https://doi.org/10.1002/(SICI)1526-4025(200001/03)16:13.0.CO;2-3

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:16:y:2000:i:1:p:23-33

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