scientific article; zbMATH DE number 4176275

MaRDI QIDQ3200418zbMATH OpenFDO

Authors Franz Konecny

Publication date 1990

zbMATH Keywords

asymptotic normalityconsistencyestimation of a drift parametermaximum likelihood estimationminimum contrast estimatorone-dimensional diffusionpartially observed diffusionsmall measurement noisewhite noise

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

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(13)

• Asymptotic properties of MLE for partially observed fractional diffusion system with dependent noises
• Consistent parameter estimation for partially observed diffusions with small noise
• Parameter estimation of a signal from linear indirect observations
• Uniform approximate estimation for nonlinear nonhomogeneous stochastic system with unknown parameter
• On localization of source by hidden Gaussian processes with small noise
• Maximum likelihood estimation for the drift parameter in diffusion processes
• Maximum likelihood estimation for small noise multiscale diffusions
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• Adaptive Kalman filter for systems with unknown initial values

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