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A note on a Wiener process with measurement error

Authors:	Chien-Yu Peng Shih-Chi Hsu

Institution:	^a Institute of Statistical Science, Academia Sinica, Taipei, 11529, Taiwan ^b Institute of Statistics, National Tsing-Hua University, Hsinchu, 30013, Taiwan

Abstract:	In this paper we give a closed form for the determinant and the inverse matrix of the covariance matrix of a Wiener process with measurement error. We will discuss its application in the analysis of degradation data for highly-reliable products.

Keywords:	Asymptotic theory Brownian motion Degradation model Gaussian noise Measurement error
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