Recursive identification in continuous-time stochastic processes

DOI10.1016/0304-4149(94)90137-6zbMATH Open0795.62070OpenAlexW2011866684WikidataQ59313623 ScholiaQ59313623MaRDI QIDQ1316601FDOQ1316601

Ofer Zeitouni, David Levanony, Adam Shwartz

Publication date: 10 April 1994

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

Full work available at URL: https://doi.org/10.1016/0304-4149(94)90137-6

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zbMATH Keywords

consistencyasymptotic efficiencyalgorithmdiffusion processesnonstationary processesgradient algorithmsrecursive parameter estimationfirst order approximationsNewton type algorithmsdivergent processes[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=generalized+It%EF%BF%BD%EF%BF%BD+differentiation+rule&go=Go generalized It�� differentiation rule]maximum lieklihood estimatorMLE evolution equation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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Cited In (21)

• Online drift estimation for jump-diffusion processes
• On the multi-step MLE-process for ergodic diffusion
• Recursive identification of certain structured time-varying state–space models
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• Recursive estimation procedures for one-dimensional parameter of statistical models associated with semimartingales
• Discrete variable stochastic approximation procedures and recursive autoregressive model identification
• Online parameter estimation for the McKean-Vlasov stochastic differential equation
• Title not available (Why is that?)
• Recursive Identification and Adaptive Prediction in Linear Stochastic Systems
• Approximation of the solution of the backward stochastic differential equation. Small noise, large sample and high frequency cases
• Fast recursive basis function estimators for identification of time-varying processes
• Uniform Decay and Equicontinuity for Normalized, Parameter Dependent, ITO Integrals
• Stochastic $\varepsilon$-Optimal Linear Quadratic Adaptation: An Alternating Controls Policy
• Semimartingale stochastic approximation procedure and recursive estimation
• Large deviations and Berry-Esseen inequalities for estimators in nonhomogeneous diffusion driven by fractional Brownian motion
• Maximum likelihood estimator for hidden Markov models in continuous time
• Conditional tail probabilities in continuous-time martingale LLN with application to parameter estimation in diffusions
• Uniform approximate estimation for nonlinear nonhomogeneous stochastic system with unknown parameter
• Two-timescale stochastic gradient descent in continuous time with applications to joint online parameter estimation and optimal sensor placement
• Joint Online Parameter Estimation and Optimal Sensor Placement for the Partially Observed Stochastic Advection-Diffusion Equation
• Recursive estimation of fourth-order cumulants with application to identification.

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