Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm

DOI10.1016/0304-4149(86)90018-9zbMath0608.62095OpenAlexW4242541695MaRDI QIDQ1085933

Ofer Zeitouni, Amir Dembo

Publication date: 1986

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(86)90018-9

zbMATH Keywords

diffusionparameter estimationEM algorithmmaximum likelihood estimationcontinuous time Markov processescontinuous timenon-linear filteringlinear ARMA processesnon-linear smoothingpartially observed stochastic process

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Markov processes: estimation; hidden Markov models (62M05)

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Uses Software

• astsa

Cites Work

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