Asymptotic properties of maximum likelihood estimation: parameterized diffusion in a manifold

DOI10.1080/07362994.2013.865539MaRDI QIDQ5413863zbMATH OpenOpenAlexFDO

Authors Salem Said, Jonathan H. Manton

Publication date 2 May 2014

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2013.865539

zbMATH Keywords

asymptotic normalitydifferentiable manifoldelliptic diffusionFisher informationmaximum likelihood

Mathematics Subject Classification ID

Diffusion processes and stochastic analysis on manifolds (58J65) Geometric methods (93B27) Estimation and detection in stochastic control theory (93E10)

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Cites work

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• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
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• Noneuclidean harmonic analysis, the central limit theorem, and long transmission lines with random inhomogeneities
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• Some filtering results in Riemann manifolds
• Stochastic analysis on manifolds
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Cited in

(5)

• Maximum likelihood estimators on manifolds
• Consistency of maximum likelihood estimation for some dynamical systems
• Numerical method of estimating the maximal likelihood of a smooth parametric manifold
• Parameter Estimation for Observed Diffusions in Manifolds
• Asymptotic Properties of Recursive Particle Maximum Likelihood Estimation

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