Estimation of jumplike processes with incomplete information

MaRDI QIDQ794995zbMATH OpenFDO

Authors M. V. Grishin, Alexander V. Dobrovidov

Publication date 1983

Published in Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

incomplete informationautoregression model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10)

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(5)

• Rate estimation in partially observed Markov jump processes with measurement errors
• Intensity process for a pure jump Lévy structural model with incomplete information
• Improvements in the application of stochastic estimation algorithms--Parameter jump detection
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• Detecting jumplike parameter changes and optimal evaluation of the state of discrete dynamical systems

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