On Parameter Estimation for Linear and Nonlinear Stochastic Systems

DOI10.1007/978-94-010-0179-3_20MaRDI QIDQ4650491zbMATH OpenOpenAlexFDO

Authors R. Z. Khas'minskiĭ

Publication date 11 February 2005

Published in Solid Mechanics and Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-94-010-0179-3_20

zbMATH Keywords

asymptotic efficiencyestimation of parametersmaximum likelihood estimatorstability in probabilitystochastic differential equations

Mathematics Subject Classification ID

Inverse problems involving ordinary differential equations (34A55) Ordinary differential equations and systems with randomness (34F05) Generation, random and stochastic difference and differential equations (37H10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic stability in control theory (93E15)

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• On the estimation of parameters for linear stochastic differential equations
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• Asymptotic parameter estimation for a class of linear stochastic systems using Kalman-Bucy filtering
• Estimation of parameters of linear homogeneous stochastic differential equations
• Drift estimation for stochastic reaction-diffusion systems
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• Discussion on: ``A stacked model structure for off-line parameter variation estimation in multi-equilibria nonlinear systems
• ON ESTIMATION OF THE LINEARIZED DRIFT FOR NONLINEAR STOCHASTIC DIFFERENTIAL EQUATIONS
• Stochastic Parameter Estimation of Non-Linear Systems
• Numerical differentiation and parameter estimation in higher-order linear stochastic systems
• On estimate of unknown parameters in stochastic systems with fast random oscillations
• Estimation of non-integral and integral quadratic functions in linear stochastic differential systems
• Linear Stochastic Systems
• On consistency of a generalized orthoregressive parameter estimator for a linear dynamical system
• Discussion on: ``A stacked model structure for off-line parameter variation estimation in multi-equilibria nonlinear systems
• How to deal with parameter estimation in continuous-time stochastic systems
• Estimation of states and parameters for linear systems with nonlinearly parameterized perturbations

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