Treffer: Drift estimation for Brownian flows
Title:
Drift estimation for Brownian flows
Authors:
Source:
Stochastic processes and their applications. 73(1):131-149
Publisher Information:
Amsterdam: Elsevier Science, 1998.
Publication Year:
1998
Physical Description:
print, 16 ref
Original Material:
INIST-CNRS
Subject Terms:
Computer science, Informatique, Mathematics, Mathématiques, Sciences exactes et technologie, Exact sciences and technology, Sciences et techniques communes, Sciences and techniques of general use, Mathematiques, Mathematics, Probabilités et statistiques, Probability and statistics, Théorie des probabilités et processus stochastiques, Probability theory and stochastic processes, Processus de markov, Markov processes, Erreur quadratique moyenne, Mean square error, Error medio cuadrático, Estimation erreur, Error estimation, Estimación error, Maximum vraisemblance, Maximum likelihood, Maxima verosimilitud, Mouvement brownien, Brownian motion, Movimiento browniano, Processus diffusion, Diffusion process, Proceso difusión, Processus stochastique, Stochastic process, Proceso estocástico, Flot stochastique, Stochastic flow, Flujo estocástico, Temps moyen, Mean time
Document Type:
Fachzeitschrift
Article
File Description:
text
Language:
English
Author Affiliations:
Center for Applied Mathematical Sciences, University of Southern California, Los-Angeles, CA 90089-1113, United States
ISSN:
0304-4149
Rights:
Copyright 1998 INIST-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
Notes:
Mathematics
Accession Number:
edscal.2166181
Database:
PASCAL Archive
Weitere Informationen
The problem of estimating the drift of a stochastic flow given Lagrangian observations is an estimation problem for a multidimensional diffusion with a degenerate diffusion matrix. The maximum-likelihood estimator of the constant drift is considered. A long-time asymptotic of its mean-square error (MSE) is computed. It is shown that the time-space average of the observed Lagrangian velocities has the same asymptotic. These estimators are compared to the least-squares estimator based on Eulerian data. In the most important, for applications, two-dimensional case the Lagrangian estimator is typically preferable for incompressible flows, while for flows close to potential the Eulerian estimator is better.