Linear sufficiency and linear admissibility in a continuous time Gauss-Markov model

[摘要] This paper considers the problem of estimation in a linear model when a stochastic process instead of a random vector is observed. Estimators obtained as integrals of the observed process are studied. Characterizations of linear sufficiency and admissibility similar to those given in the classical linear model are obtained in this context. Moreover, a definition of generalized ridge estimators in continuous time is introduced and also a characterization of such estimators is given. (C) 2003 Elsevier Inc. All rights reserved.

[发布日期] 2003-11-01

[关键词] Gauss-Markov model;continuous time;linear sufficiency;linear admissibility;ridge estimator