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Short Communications

On estimating the mean value of Lévy's Brownian motion

N. M. Arató

Department of Probability Theory and Statistics, Eötvös Loránd University, Budapest, Hungary

Abstract: The Gaussian field under consideration is a constant plus Levy's Brownian motion. The maximum likelihood estimate of the mean is constructed explicitly in the case of observation of the field outside some ball.

Keywords: maximum likelihood estimate, Gaussian random fields, generalized normal derivative.

Received: 30.05.1997

DOI: 10.4213/tvp884

 English version: Theory of Probability and its Applications, 1999, 43:1, 123–125

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