On the parameters estimation of continuous-time ARMA processes from noisy observations

DOI10.1109/TAC.1987.1104604zbMATH Open0621.93064MaRDI QIDQ3758686FDOQ3758686

Ofer Zeitouni, Amir Dembo

Publication date: 1987

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

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zbMATH Keywords

iterative algorithmautoregressive processcontinuous-timelinear parameter processmaximum a-posteriori estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Filtering in stochastic control theory (93E11) Linear systems in control theory (93C05) Estimation and detection in stochastic control theory (93E10)

Cited In (13)

• Estimation for nonlinear stochastic differential equations by a local linearization method¹
• On filtering and estimation of a threshold stochastic volatility model
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• New results in Sridhar filtering theory: The discrete case
• Whittle parameter estimation for vector ARMA models with heavy-tailed noises
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• Maximum a posteriori estimation of time-varying ARMA processes from noisy observations
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• Continuous-time AR process parameter estimation in presence of additive white noise
• A hidden Markov regime-switching model for option valuation
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• Recursive identification in continuous-time stochastic processes

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