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Results tagged with stochastic-processes
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user 634
A stochastic process is a collection of random variables usually indexed by a totally ordered set.
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Estimating Wiener process parameters
Consider a Wiener process with zero drift, infintesimal variance $\sigma^2$, and an unknown starting value $\nu$. That is,
\begin{align}
Y_t \sim \mathcal{N}(\nu, t\sigma^2).
\end{align}
Now, su …
- 598