On estimating a dynamic function of a stochastic system with averaging

DOI10.1023/A:1009983802178MaRDI QIDQ5937003zbMATH OpenOpenAlexFDO

Authors R. Liptser, V. G. Spokoiny

Publication date 7 April 2002

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1009983802178

zbMATH Keywords

averaging principlebandwidth selectiondrift and diffusion coefficientsfast and slow components

Mathematics Subject Classification ID

Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes (62M99)

Recommendations

• Semiparametric estimation for dynamical systems with small noise.
• Semiparametric estimation of a functional of the drift coefficient of a dynamical system with small noise
• A two-step estimation of diffusion processes using noisy observations
• Estimating functions for noisy observations of ergodic diffusions
• Averaging of singularly perturbed controlled stochastic differential equations

Cited in

(6)

• Stochastic averaging for two-time-scale stochastic partial differential equations with fractional Brownian motion
• Deviation probability bound for martingales with applications to statistical estimation
• MDP for integral functionals of fast and slow processes with averaging
• Stochastic averaging for slow-fast dynamical systems with fractional Brownian motion
• Stochastic averaging principle for dynamical systems with fractional Brownian motion
• Distribution dependent stochastic differential equations driven by fractional Brownian motion and standard Brownian motion

This page was built for publication: On estimating a dynamic function of a stochastic system with averaging

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5937003)