Geodesic
Some Methods for the Exact Estimation of a Parameter of a Gaussian Stohastic Process
Teoriâ veroâtnostej i ee primeneniâ, Tome 9 (1964) no. 3, pp. 516-519 
V. G. Alekseev. Some Methods for the Exact Estimation of a Parameter of a Gaussian Stohastic Process. Teoriâ veroâtnostej i ee primeneniâ, Tome 9 (1964) no. 3, pp. 516-519. http://geodesic.mathdoc.fr/item/TVP_1964_9_3_a6/
@article{TVP_1964_9_3_a6,
     author = {V. G. Alekseev},
     title = {Some {Methods} for the {Exact} {Estimation} of {a~Parameter} of {a~Gaussian} {Stohastic} {Process}},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {516--519},
     year = {1964},
     volume = {9},
     number = {3},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_1964_9_3_a6/}
}
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The paper deals with stochastic processes $\xi(t)$ and $\eta(t)$, $0\leqq t\leqq T$, having stationary Gaussian increments, zero means and spectral densities $f_\xi(\lambda)$ and $f_\eta(\lambda )=f_\xi(\lambda)+cf_\zeta(\lambda)$, respectively, where $f_\xi(\lambda)$ and $f_\zeta(\lambda)$ are known non-negative functions, and $c\geqq 0$ is an unknown parameter. It is assumed that the Gaussian measures in the function space corresponding to the processes $\xi(t)-\xi(0)$ and $\eta(t)-\eta(0)$ are orthogonal for $c>0$. We give the functionals of sample functions of the process $\eta(t)$ which could be used for the exact determination of the parameter $c$.