高斯过程扩展Orey指数的估计

IF 0.8 4区数学 Q3 MATHEMATICS, APPLIED Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2015-04-09 DOI:10.1080/17442508.2014.989527

K. Kubilius

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引用次数: 12

摘要

Orey提出了一个具有平稳增量的高斯过程的指数的定义，它决定了该过程的样本路径的各种性质。我们将Orey指数的定义扩展到可能没有平稳增量的二阶随机过程，并从其样本路径的离散观测中估计高斯过程的Orey指数。

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On estimation of the extended Orey index for Gaussian processes

Orey suggested the definition of an index for a Gaussian process with stationary increments which determines various properties of the sample paths of this process. We provide an extension of the definition of the Orey index towards a second-order stochastic process which may not have stationary increments and estimate the Orey index towards a Gaussian process from discrete observations of its sample paths.

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来源期刊

Stochastics-An International Journal of Probability and Stochastic Processes MATHEMATICS, APPLIED-STATISTICS & PROBABILITY

CiteScore

1.90

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： Stochastics: An International Journal of Probability and Stochastic Processes is a world-leading journal publishing research concerned with stochastic processes and their applications in the modelling, analysis and optimization of stochastic systems, i.e. processes characterized both by temporal or spatial evolution and by the presence of random effects. Articles are published dealing with all aspects of stochastic systems analysis, characterization problems, stochastic modelling and identification, optimization, filtering and control and with related questions in the theory of stochastic processes. The journal also solicits papers dealing with significant applications of stochastic process theory to problems in engineering systems, the physical and life sciences, economics and other areas. Proposals for special issues in cutting-edge areas are welcome and should be directed to the Editor-in-Chief who will review accordingly. In recent years there has been a growing interaction between current research in probability theory and problems in stochastic systems. The objective of Stochastics is to encourage this trend, promoting an awareness of the latest theoretical developments on the one hand and of mathematical problems arising in applications on the other.