IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v96y2001i1p161-175.html
   My bibliography  Save this article

On estimation of time dependent spatial signal in Gaussian white noise

Author

Listed:
  • Chow, P. -L.
  • Khasminskii, R.
  • Liptser, R.

Abstract

We consider an estimation problem for time dependent spatial signal observed in a presence of additive cylindrical Gaussian white noise of a small intensity [var epsilon]. Under known a priori smoothness of the signal estimators with asymptotically the best in the mimimax sense risk convergence rate in [var epsilon] to zero are proposed. Moreover, on-line estimators for the signal and its derivatives in t are also created.

Suggested Citation

  • Chow, P. -L. & Khasminskii, R. & Liptser, R., 2001. "On estimation of time dependent spatial signal in Gaussian white noise," Stochastic Processes and their Applications, Elsevier, vol. 96(1), pages 161-175, November.
    • Handle: RePEc:eee:spapps:v:96:y:2001:i:1:p:161-175
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304-4149(01)00111-9
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Chow, P. -L. & Khasminskii, R. & Liptser, R., 1997. "Tracking of signal and its derivatives in Gaussian white noise," Stochastic Processes and their Applications, Elsevier, vol. 69(2), pages 259-273, September.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Vyacheslav Abramov & Fima Klebaner, 2007. "Estimation and Prediction of a Non-Constant Volatility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(1), pages 1-23, March.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:96:y:2001:i:1:p:161-175. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.