Identification of Nonstationary Diffusion Model by the Method of Sieves

DOI10.1137/0320045MaRDI QIDQ3949839zbMATH OpenOpenAlexFDO

Authors Tuan D. Pham, Hung T. Nguyen

Publication date 1982

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0320045

zbMATH Keywords

method of sievesnonstationary linear diffusion modelrestricted maximum likelihood estimatorsstochastic differential equations

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Identification in stochastic control theory (93E12)

Cited in

(17)

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• Estimation of the nuisance parameter for a semimartingale regression model
• Stochastic methods for neural systems
• A note on smoothed estimating functions
• Statistical modeling of diffusion processes with free knot splines
• Nonparametric estimation of a scalar diffusion model from discrete time data: a survey
• Infinite dimensional parameter identification for stochastic parabolic systems
• Identification for Linear Stochastic Systems Driven by Fractional Brownian Motion
• An identification problem for systems with additive fractional Brownian field
• Arrondir le cercle\dots
• Nonparametric estimation of linear multiplier for fractional diffusion processes
• Inference for stochastic neuronal models
• Inference for stochastic neuronal models
• Nonparametric adaptive estimation for interacting particle systems
• Nonparametric estimation for SDE with sparsely sampled paths: an FDA perspective
• Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview
• Asymptotically efficient sequential kernel estimates of the drift coefficient in ergodic diffusion processes

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