Statistical inference about the drift parameter in stochastic processes

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F13%3A10159490" target="_blank" >RIV/00216208:11320/13:10159490 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Statistical inference about the drift parameter in stochastic processes

Original language description

In statistical inference on the drift parameter in the Wiener process with a constant drift there is a large number of options how to do it. We may, for example, base this inference on the properties of the standard normal distribution applied to the differences between the observed values of the process at discrete times. Although such methods are very simple, it turns out that more appropriate is to use the sequential methods. For the hypotheses testing about the drift parameter it is more proper to standardize the observed process, and to use the sequential methods based on the first time when the process reaches some boundary, until some given time. These methods can be generalized to other processes, for instance, to the Brownian bridges.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BB - Applied statistics, operational research

OECD FORD branch

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Project

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Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2013

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Acta Universitatis Palackianae Olomucensis. Facultas Rerum Naturalium. Mathematica

ISSN

0231-9721

e-ISSN

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Volume of the periodical

52

Issue of the periodical within the volume

2

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

14

Pages from-to

107-120

UT code for WoS article

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EID of the result in the Scopus database

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