Estimation of covariance matrices of vector wiener process by minque method

Abstract

In this paper of vector random process Y(t)=W(t)+ε(t) is considered. The process W(t) is of multidimensional WIENER process, ε(t) is cleanly of random process. For these processes W(t) and ε(t) the estimators of covariance matrices by MINQUE method are obtained

Keywords:

• Covariance matrix
• MINQUE method
• WIENER process