Optimality of equidistant sampling designs for the Brownian motion with a quadratic drift |
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| Authors: | Radoslav Harman František Štulajter |
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| Institution: | Department of Applied Mathematics and Statistics, Faculty of Mathematics, Physics and Informatics, Comenius University Bratislava, Slovakia |
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| Abstract: | In the paper we show that the equidistant sampling designs are optimal for the model of Brownian motion with a quadratic drift and for any of its submodels. This result holds for all Loewner isotonic criteria of parametric optimality continuous on the set of regular information matrices, as well as for the mean squared error of the best linear unbiased predictor. |
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| Keywords: | Brownian motion Estimation Loewner ordering Optimal design Prediction Wiener process |
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