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WROCŁAW UNIVERSITY
OF SCIENCE AND
TECHNOLOGY

Contents of PMS, Vol. 2, Fasc. 1,
pages 37 - 53
 

ON SEQUENTIAL ESTIMATION OF PARAMETERS OF CONTINUOUS GAUSSIAN MARKOV PROCESSES

Marek Musiela

Abstract: Assuming that the mean function of a continuous Gaussian Markov process y is of the form m(t) = hf(t)+ y(t), we give admissible, minimax and minimum variance unbiased sequential plans for estimation of h . For a parameter of the covariance function of y , parallel results are presented.

2000 AMS Mathematics Subject Classification: Primary: -; Secondary: -;

Key words and phrases: -

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