Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm (Q1085933): Difference between revisions
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Revision as of 15:55, 10 February 2024
scientific article
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| English | Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm |
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Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm (English)
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1986
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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.
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non-linear filtering
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parameter estimation
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diffusion
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non-linear smoothing
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maximum likelihood estimation
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partially observed stochastic process
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continuous time
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EM algorithm
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continuous time Markov processes
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linear ARMA processes
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