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Linear completeness in a continuous time Gauss-Markov model

Author

Listed:
  • Ibarrola, P.
  • Pérez-Palomares, A.

Abstract

In this paper, we study linear completeness in a continuous time linear model. We give a characterization of this property and we show its equivalence with ordinary completeness when a Gaussian process is considered. Furthermore, a characterization of a sufficient and complete estimator in a continuous time Gaussian model is given.

Suggested Citation

  • Ibarrola, P. & Pérez-Palomares, A., 2004. "Linear completeness in a continuous time Gauss-Markov model," Statistics & Probability Letters, Elsevier, vol. 69(2), pages 143-149, August.
  • Handle: RePEc:eee:stapro:v:69:y:2004:i:2:p:143-149
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    References listed on IDEAS

    as
    1. Markiewicz, Augustyn, 1996. "Characterization of general ridge estimators," Statistics & Probability Letters, Elsevier, vol. 27(2), pages 145-148, April.
    2. Ibarrola, P. & Pérez-Palomares, A., 2003. "Linear sufficiency and linear admissibility in a continuous time Gauss-Markov model," Journal of Multivariate Analysis, Elsevier, vol. 87(2), pages 315-327, November.
    3. Mueller, Jochen, 1987. "Sufficiency and completeness in the linear model," Journal of Multivariate Analysis, Elsevier, vol. 21(2), pages 312-323, April.
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