Asymptotic properties of Bayes estimators for Gaussian Itô\,-\,processes with noisy observations

DOI10.1016/J.JMVA.2005.04.003MaRDI QIDQ2489769zbMATH OpenOpenAlexFDO

Authors Thomas Deck

Publication date 28 April 2006

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2005.04.003

zbMATH Keywords

linear filtering

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes and prediction (62M20)

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• Linear stochastic systems with constant coefficients. A statistical approach
• On Bayes procedures
• Parameter estimation in linear filtering
• Robust parameter estimation for stochastic differential equations
• Stochastic differential equations. An introduction with applications.

Cited in

(8)

• Small noise asymptotics of the Bayesian estimator in nonidentifiable models
• Asymptotic parameter estimation for a class of linear stochastic systems using Kalman-Bucy filtering
• On the stability of Bayes estimators for Gaussian processes
• Gaussian estimation for discretely observed Cox-Ingersoll-Ross model
• Parameter estimation for stochastic Lotka-Volterra model driven by small Lévy noises from discrete observations
• Bayesian estimate and asymptotic property of stochastic differential equations with perturbation
• Parameter estimation: the proper way to use Bayesian posterior processes with Brownian noise
• Least squares estimation for discretely observed Ornstein–Uhlenbeck process driven by small stable noises

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