On parameter estimation of hidden ergodic Ornstein-Uhlenbeck process

DOI10.1214/19-EJS1631zbMath1442.62190arXiv1902.08500MaRDI QIDQ2008619

Yury A. Kutoyants

Publication date: 26 November 2019

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.08500

zbMATH Keywords

parameter estimationhidden processergodic processpartially observed linear systemKalman-Bucy filtrationOne-step MLE-process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and prediction (62M20) Markov processes: estimation; hidden Markov models (62M05)

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