Asymptotic properties of Bayes estimators for Gaussian Itô\,-\,processes with noisy observations
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Publication:2489769
DOI10.1016/j.jmva.2005.04.003zbMath1085.62106MaRDI QIDQ2489769
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
62F12: Asymptotic properties of parametric estimators
62M20: Inference from stochastic processes and prediction
62F15: Bayesian inference
62M05: Markov processes: estimation; hidden Markov models
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
Cites Work
- Linear stochastic systems with constant coefficients. A statistical approach
- Parameter estimation in linear filtering
- Robust parameter estimation for stochastic differential equations
- Current algebras and the identification problem
- On Bayes procedures
- Stochastic differential equations. An introduction with applications.
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