CONTINUOUS-TIME DYNAMICAL SYSTEMS WITH SAMPLED DATA, ERRORS OF MEASUREMENT AND UNOBSERVED COMPONENTS

DOI10.1111/J.1467-9892.1993.TB00162.XzbMath0780.62064OpenAlexW2079762321MaRDI QIDQ4272772

Hermann Singer

Publication date: 20 December 1993

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1993.tb00162.x

zbMATH Keywords

EM algorithmmaximum likelihood estimationsimulation studiesdiscrete measurementsscoring algorithmerrors of measurementunobserved statessunspot activityquasi- Newton algorithmscontinuous/discrete state space modelexact analytical derivativessampled continuous-time stochastic processes

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Estimation and detection in stochastic control theory (93E10) Probabilistic methods, stochastic differential equations (65C99)

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Cites Work

• Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
• Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
• Stochastic processes and filtering theory
• The Dimensionality of the Aliasing Problem in Models With Rational Spectral Densities
• Continuous Time Series Models for Unequally Spaced Data Applied to Modeling Atomic Clocks
• The Multivariate Portmanteau Statistic
• Identification of continuous-time multivariable systems from sampled data†
• Fitting Systems of Linear Differential Equations Using Computer Generated Exact Derivatives
• Modeling of Continuous Stochastic Processes from Discrete Observations with Application to Sunspots Data
• Evaluation of likelihood functions for Gaussian signals
• Exponential Operators and Parameter Differentiation in Quantum Physics
• Linear Statistical Inference and its Applications
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