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Maximum likelihood estimator for the drift of a Brownian flow

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  • Mi̇ne Çag̃lar

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.

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  • Mi̇ne Çag̃lar, 2000. "Maximum likelihood estimator for the drift of a Brownian flow," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 16(1), pages 23-33, January.
    • Handle: RePEc:wly:apsmbi:v:16:y:2000:i:1:p:23-33
    DOI: 10.1002/(SICI)1526-4025(200001/03)16:13.0.CO;2-3
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