About: Statistical inference about the drift parameter in stochastic processes

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
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. 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. (en)
Title	Statistical inference about the drift parameter in stochastic processes Statistical inference about the drift parameter in stochastic processes (en)
skos:prefLabel	Statistical inference about the drift parameter in stochastic processes Statistical inference about the drift parameter in stochastic processes (en)
skos:notation	RIV/00216208:11320/13:10159490!RIV14-MSM-11320___
http://linked.open...avai/predkladatel	Matematicko-fyzikální fakulta
http://linked.open...avai/riv/aktivita	S
http://linked.open...avai/riv/aktivity	S
http://linked.open...iv/cisloPeriodika	2
http://linked.open...vai/riv/dodaniDat	2014
http://linked.open...aciTvurceVysledku	Stibůrek, David
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Univerzita Karlova v Praze / Matematicko-fyzikální fakulta
http://linked.open...dnocenehoVysledku	107774
http://linked.open...ai/riv/idVysledku	RIV/00216208:11320/13:10159490
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	hypotheses testing; symmetric random process; sequential methods; Brownian bridge; Wiener process (en)
http://linked.open.../riv/klicoveSlovo	hypotheses testing Brownian bridge sequential methods symmetric random process Wiener process
http://linked.open...odStatuVydavatele	CZ - Česká republika
http://linked.open...ontrolniKodProRIV	[D597F61035DB]
http://linked.open...i/riv/nazevZdroje	Acta Universitatis Palackianae Olomucensis. Facultas Rerum Naturalium. Mathematica
http://linked.open...in/vavai/riv/obor	BB
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...UplatneniVysledku	2013
http://linked.open...v/svazekPeriodika	52
http://linked.open...iv/tvurceVysledku	Stibůrek, David
issn	0231-9721
number of pages	14 (xsd:int)
http://localhost/t...ganizacniJednotka	11320

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