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

DOI10.1109/TAC.1987.1104604MaRDI QIDQ3758686zbMATH OpenFDO

Authors Amir Dembo, Ofer Zeitouni

Publication date 1987

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

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)

Recommendations

• Maximum a posteriori estimation of time-varying ARMA processes from noisy observations
• Consistent estimation of autoregressive parameters from noisy observations based on two interacting Kalman filters
• Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
• Continuous-time AR process parameter estimation in presence of additive white noise
• An overview of important practical aspects of continuous-time ARMA system identification

Cited in

(16)

• On filtering and estimation of a threshold stochastic volatility model
• Estimation for nonlinear stochastic differential equations by a local linearization method¹
• scientific article; zbMATH DE number 1998788 (Why is no real title available?)
• scientific article; zbMATH DE number 29703 (Why is no real title available?)
• Consistent estimation of autoregressive parameters from noisy observations based on two interacting Kalman filters
• New results in Sridhar filtering theory: The discrete case
• Whittle parameter estimation for vector ARMA models with heavy-tailed noises
• scientific article; zbMATH DE number 3907614 (Why is no real title available?)
• Multichannel AR parameter estimation from noisy observations as an errors-in-variables issue
• Maximum a posteriori estimation of time-varying ARMA processes from noisy observations
• scientific article; zbMATH DE number 7448378 (Why is no real title available?)
• Continuous-time AR process parameter estimation in presence of additive white noise
• Spectral density based estimation of continuous-time ARMAX process parameters
• A hidden Markov regime-switching model for option valuation
• scientific article; zbMATH DE number 1536231 (Why is no real title available?)
• Recursive identification in continuous-time stochastic processes

This page was built for publication: On the parameters estimation of continuous-time ARMA processes from noisy observations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3758686)