2 papers
math.PR2018
Optimal real-time detection of a drifting Brownian coordinate
Philip Ernst, Goran Peskir, Quan Zhou
Consider the motion of a Brownian particle in three dimensions, whose two spatial coordinates are standard Brownian motions with zero drift, and the remaining (unknown) spatial coo…
stat.ME2016
Bayesian aggregation of two forecasts in the partial information framework
Philip Ernst, Robin Pemantle, Ville Satopaa +1
We generalize the results of \cite{SPU, SJPU} by showing how the Gaussian aggregator may be computed in a setting where parameter estimation is not required. We proceed to provide…