D-optimal designs for complex Ornstein–Uhlenbeck processes

Baran, Sándor and Szák-Kocsis, Csilla and Stehlík, Milan (2018) D-optimal designs for complex Ornstein–Uhlenbeck processes. JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 197. pp. 93-106. ISSN 0378-3758

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Abstract

Complex Ornstein–Uhlenbeck (OU) processes have various applications in statistical modelling. They play role e.g. in the description of the motion of a charged test particle in a constant magnetic field or in the study of rotating waves in time-dependent reaction diffusion systems, whereas Kolmogorov used such a process to model the so-called Chandler wobble, small deviation in the Earth’s axis of rotation. In these applications parameter estimation and model fitting is based on discrete observations of the underlying stochastic process, however, the accuracy of the estimation strongly depend on the observation points. This paper studies the properties of D-optimal designs for estimating the parameters of a complex OU process with a trend. In special situations we show that in contrast with the case of the classical real OU process, a D-optimal design exists not only for the trend parameter, but also for joint estimation of the covariance parameters, moreover, these optimal designs are equidistant.

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