Estimating stochastic dynamical systems driven by a continuous-time jump Markov process (Q861540): Difference between revisions

From MaRDI portal
RedirectionBot (talk | contribs)
Removed claim: reviewed by (P1447): Item:Q480979
Normalize DOI.
 
(4 intermediate revisions by 4 users not shown)
Property / DOI
 
Property / DOI: 10.1007/s11009-006-0423-z / rank
Normal rank
 
Property / reviewed by
 
Property / reviewed by: Markus Reiss / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2068896871 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating the Infinitesimal Generator of a Continuous Time, Finite State Markov Process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3292891 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3136505 / rank
 
Normal rank
Property / cites work
 
Property / cites work: ON DIFFUSION BY DISCONTINUOUS MOVEMENTS, AND ON THE TELEGRAPH EQUATION / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3999325 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of parameters of linear homogeneous stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Diffusion Approximation with Equilibrium for Evolutionary Systems Switched by Semi-Markov Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Statistical inference for ergodic diffusion processes. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Monte-Carlo methods for the transport and diffusion equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: A stochastic theory of fatigue crack propagation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic differential equations. An introduction with applications. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonparametric estimation of reliability and survival function for continuous-time finite Markov processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3998788 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic approach to fatigue: experiments, modelling and reliability estimation / rank
 
Normal rank
Property / DOI
 
Property / DOI: 10.1007/S11009-006-0423-Z / rank
 
Normal rank

Latest revision as of 05:53, 10 December 2024

scientific article
Language Label Description Also known as
English
Estimating stochastic dynamical systems driven by a continuous-time jump Markov process
scientific article

    Statements

    Estimating stochastic dynamical systems driven by a continuous-time jump Markov process (English)
    0 references
    0 references
    0 references
    29 January 2007
    0 references
    The authors consider the stochastic dynamical system \[ Z'(t)=f(Z(t),X(t)). \] Here \(X\) is a time-continuous Markov process with finite state space. First, it is assumed that \(X\) is observed on time intervals \([0,T_k]\) , \(k=1,\dots,n\), for \(n\) i.i.d. realisations. Consistency and asymptotic normality of the maximum-likelihood estimator are derived. This is applied to observations of the dynamical system \(Z\) in the case where we can write \(X(t)=h(Z(t),Z'(t))\) with some known function \(h\). A numerical study of the corresponding plug-in estimator, especially for a fatigue crack growth model, is performed.
    0 references
    Markov process
    0 references
    maximum-likelihood estimator
    0 references
    fatigue crack growth
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references