Maximum likelihood drift estimation for Gaussian process with stationary increments

Yuliya Mishura, Kostiantyn Ralchenko, Sergiy Shklyar

The paper deals with the regression model $X_t=\theta t+B_t$, $t\in [0,T]$, where $B=\{B_t,t\ge 0\}$ is a centered Gaussian process with stationary increments. We study the estima…