Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm (Q1085933): Difference between revisions
From MaRDI portal
Latest revision as of 17:06, 17 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm |
scientific article |
Statements
Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm (English)
0 references
1986
0 references
The problem of maximum likelihood estimation of parameters of a partially observed stochastic process in continuous time is considered. An approach based on an extension of the EM algorithm is developed and applied to continuous time Markov processes observed in noise. Applications to the linear ARMA processes are also considered.
0 references
non-linear filtering
0 references
parameter estimation
0 references
diffusion
0 references
non-linear smoothing
0 references
maximum likelihood estimation
0 references
partially observed stochastic process
0 references
continuous time
0 references
EM algorithm
0 references
continuous time Markov processes
0 references
linear ARMA processes
0 references
0 references
0 references
0 references
0 references
