Nonstationary Gauss-Markov Processes: Parameter Estimation and Dispersion

Peida Tian, Victoria Kostina

This paper provides a precise error analysis for the maximum likelihood estimate ${\hat{a}}_{\text{ML}}(u_1^n)$ of the parameter $a$ given samples $u_1^n=(u_1,\dots ,u_n{)}^{\prime }$ drawn…