Thread: Distribution of a time-dependent linear combination of normal varaibles

Suppose \$f(t)=a_0(t) + \sum_{i=1} ^{n} a_i(t) X_i\$ where \$X_i\$ (\$i=1,2,\dots,n\$) are independent standard normal variables. $\t\$ is time over interval \$[t_1,t_2]\$. What are the mean, std, and CDF of the maximal f over \$[t_1,t_2]\$ at Instant \$t\$? I can use Monte Carlo simulation. But it is not efficient. Any numerical methods for this?

Hello,

I've been told (again) this morning that MLE is the best estimator one has first to think of...