Publication:4148534

From MaRDI portal


zbMath0369.60001MaRDI QIDQ4148534

Albert N. Shiryaev, Robert Sh. Liptser

Publication date: 1978



94A05: Communication theory

60Hxx: Stochastic analysis

62Nxx: Survival analysis and censored data

60Jxx: Markov processes

62Mxx: Inference from stochastic processes

60Gxx: Stochastic processes

93Exx: Stochastic systems and control

62Lxx: Sequential statistical methods

60-00: General reference works (handbooks, dictionaries, bibliographies, etc.) pertaining to probability theory


Related Items

Goodness-of-fit tests for the second moment funciton of a stationary multidimensional poisson process, Differentiablity of point process models and asymptotic efficiency of differentiable functionals, Nonlinear continuous-discrete filtering using kernel density estimatesand functional integrals, Parameter estimation for switched counting processes, Optimal Detection of a Change Point in a Poisson Process for Different Observation Schemes, High Order Stochastic Inclusions and Their Applications, Scoring probability forecasts for point processes: the entropy score and information gain, Poisson approximation, compensators and coupling, Nonparametric Sequential Minimax Estimation of the Drift Coefficient in Diffusion Processes, Stochastic calculus as a tool in survival analysis: A review, Stochastic calculus as a tool in survival analysis: A review, On asymptotically optimal tests, Existence of Arrow-Radner equilibrium with endogenously complete markets under incomplete information, A martingale characterization of Pólya-Lundberg processes, Adaptive control of linear delay time systems*, Recursive parameter estimation for semimartingales, The Poisson disorder problem for large intensities†, A general poisson approximation theorem, Optimal control for a class of partially observable systems, [https://portal.mardi4nfdi.de/wiki/Software:4176251 Un probl�me de contr�le stochastique avec observation partielle], Queueing systems on a circle, Partially observable linear-quadratic stochastic pursuit-evasion games, Convergence results for continuous-time adaptive stochastic filtering algorithms, State estimation for Cox processes on general spaces, Girsanov's theorem in Hilbert space and an application to the statistics of Hilbert space-valued stochastic differential equations, On the existence of optimal solutions in a stochastic control model, The martingale method: Introductory sketch and access to the literature, Inference for earthquake models: A self-correcting model, Stochastic ordering and thinning of point processes, Likely path to extinction in simple branching models with large initial population, On the bias of the least squares estimator for the first order autoregressive process, Simultaneous design of measurement and control strategies for stochastic systems with feedback, On-line tracking of a smooth regression function, On some abstract stochastic differential equations, Parameter estimation for point processes with partial observations: A filtering approach, Nonlinear filtering of systems governed by Ito differential equations with jump parameters, Convergence of thinning processes using compensators, A note on the conditional Fatou lemma, Strong consistency of least squares estimates in linear regression models driven by semimartingales, Continuity of filtrations of sigma algebras, Estimating a parametric trend component in a continuous-time jump-type process, Time reversal and stationarity of infinite-dimensional Markov birth-and- death processes, Nonlinear data observability and information, Estimation of parameters for Hilbert space-valued partially observable stochastic processes, A note on the exponentiality of total hazards before failure, Rank tests for matched pair experiments with censored data, Random time change and an integral representation for marked stopping times, On stochastic observability and controllability, Locally most powerful sequential tests for stochastic processes, A partially observed Poisson process, An existence result for a linear abstract stochastic equation in Hilbert spaces, A Kalman filtering technique for certain Markov chains, Adaptive control in the scalar linear-quadratic model in continuous time, Conjugate priors for exponential-type processes, Modelling and forecasting exchange rates with a Bayesian time-varying coefficient model, Some theorems on conditional Pasta: A stochastic integral approach, Local asymptotic mixed normality for semimartingale experiments, Comparison of location models for stochastic processes, Capacity of mismatched Gaussian channels with and without feedback, Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion, Tracking of signals and its derivatives in Gaussian white noise, Law equivalence of stochastic linear systems, Large deviations and stationary measures for interacting particle systems, Singularity of two diffusions on \({\mathcal C}_ \infty\), Filtering of derived point processes, About Gaussian schemes in stochastic approximation, Filtering problems for conditionally linear systems with non-Gaussian initial conditions, Local scale models. State space alternative to integraded GARCH processes, Parameter estimation for nearly nonstationary AR(1) processes, Randomised sequential probability ratio tests for stochastic processes, Optimum design of measurement channels and control policies for linear- quadratic stochastic systems, An infinite expansion for nonlinear filtering, New results on the Gaussian projection filter with small observation noise, Transformations of Lebesgue-Stieltjes integrals, A replacement model with general age-dependent failure rates, Fixed lag smoothing of scalar diffusions. Part I. The filtering-smoothing equation, Nonlinear filtering problem with contamination, Coupling with compensators, Sequential estimation for a family of counting processes in the nuisance parameter case, Stability results for a general class of interacting point processes dynamics, and applications, Asymptotic reliability of a linearly connected system with an infinite number of components, Time and Palm stationarity of repairable systems, Suboptimal Kalman filtering for linear systems with Gaussian-sum type of noise, Maximum likelihood estimation for continuous-time autoregressive models by relaxation on residual variances ratio parameters, Optimal trading strategy for an investor: the case of partial information, Filtering via estimating functions, Poisson convergence in two dimensions with application to row and column exchangeable arrays, On the synthesis of optimal control for the continuous-time linear stochastic systems with singular mean-square performance index, Adaptive control of continuous-time linear stochastic systems, Optimal transmission of a Gaussian vector through a Gaussian-white-noise vector channel with feedback, Sequential testing problems for Poisson processes., Information processes for semimartingale experiments, Asymptotic analysis and extinction in a stochastic Lotka-Volterra model, Non-parametric estimation of lifetime and repair time criteria for a semi-Markov process, Optimality of the CUSUM procedure in continuous time., Local asymptotic quadraticity of stochastic process models based on stopping times, Drift estimation of a certain class of diffusion processes from discrete observation, Modelling of repairable systems with various degrees of repair, A term structure model with preferences for the timing of resolution of uncertainty, A survey of numerical methods for nonlinear filtering problems, A new instrumental variable estimation for diffusion processes, On uniform integrability of random variables, Statistical aspects of the fractional stochastic calculus, General approach to filtering with fractional brownian noises — application to linear systems, Unnamed Item, Nonparametric estimation based on censored observations of a Markov renewal process, Convergence of the empirical distribution to the poisson process, The k-record processes are i.i.d., Non–linear filtering of diffusion processes with discontinuous observations, Unnamed Item, Unnamed Item, Separation principle for impulse control with partial information, Distance de Hellinger-Kakutani des lois correspondant à deux processus à accroissements indépendants, A system model with interacting components:renewal type results, Integro-differential equations associated with optimal stopping time of a piecewise-deterministic process, SOME DOUBLY STOCHASTIC TIME SERIES MODELS, Conditionally gaussian distributions and an application to kalman filtering with stochastic regressors, Inférence statistique dans les processus stochastiques: Aperçu historique, Optimal locally absolutely continuous change of measure. finite set of decisions. part ii:optimization problems, Exact predictors for a generalized ar(1) process with an ar(1) parameter, Rate of convergence in the bernstein-von mises theorem for a class of diffusion processes