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Optimal choice of the moments of observation in a problem of distinguishing stochastic processes

(1982) Optimal choice of the moments of observation in a problem of distinguishing stochastic processes. Journal of Soviet Mathematics , 20 (3) pp. 2196-2201. 10.1007/BF01239997.

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Abstract

The problem is considered of distinguishing two Wiener processes with known diffusion coefficients on the basis of a finite number of inexact observations on a given time interval. In connection with the optimal choice of the moments of observation, the asymptotics of the maximum of the entropy distance of the arising pairs of finite-dimensional Gaussian distributions are found; the question of the optimal choice of the moments of observations is discussed, and the behavior of the entropy distance is studied for a fixed number of observations when the accuracy is increased. © 1982 Plenum Publishing Corporation.

Type: Article
Title: Optimal choice of the moments of observation in a problem of distinguishing stochastic processes
DOI: 10.1007/BF01239997
UCL classification: UCL > Provost and Vice Provost Offices
UCL > Provost and Vice Provost Offices > UCL SLASH
UCL > Provost and Vice Provost Offices > UCL SLASH > SSEES
URI: http://discovery.ucl.ac.uk/id/eprint/1325956
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