MLE for partially observed diffusions: Direct maximization vs. the EM algorithm (Q921782)
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scientific article; zbMATH DE number 4166404
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| English | MLE for partially observed diffusions: Direct maximization vs. the EM algorithm |
scientific article; zbMATH DE number 4166404 |
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MLE for partially observed diffusions: Direct maximization vs. the EM algorithm (English)
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1989
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maximum likelihood
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Skorokhod integral
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algorithms
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partially observed diffusion processes
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EM algorithm
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iterative algorithm
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nonlinear smoothing
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nonlinear filtering
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conditional expectations
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Time discretization schemes
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stochastic PDE's
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discrete time case
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hidden Markov model
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Numerical results
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direct maximization
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0.8217090368270874
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0.8133623003959656
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0.7938417196273804
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0.7929316759109497
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