On parameter estimation of partly observed bilinear discrete-time stochastic systems

DOI10.1007/S00184-010-0333-5MaRDI QIDQ427490zbMATHOpenAlexFDO

Authors A. Malyarenko, Vyacheslav A. Vasiliev

Publication date 13 June 2012

Published in Metrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00184-010-0333-5

zbMATH Keywords

asymptotic and sequential estimationmultiplicative and additive noisesmultivariate autoregressive processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20) Non-Markovian processes: estimation (62M09) Sequential estimation (62L12)

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Cites work

• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
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• Markov chains and stochastic stability
• On certain unbiased ratio estimators
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• RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I
• The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model.

Cited in

(10)

• scientific article; zbMATH DE number 4153741 (Why is no real title available?)
• scientific article; zbMATH DE number 3967746 (Why is no real title available?)
• Parameter estimation for partially observed linear stochastic system
• Information-theoretic multi-time-scale partially observable systems with inspiration from leukemia treatment
• A truncated estimation method with guaranteed accuracy
• Parameter estimation for partially observed nonlinear stochastic system
• On-line almost-sure parameter estimation for partially observed discrete-time linear systems with known noise characteristics
• Parameter estimation for partially observed nonlinear nonhomogeneous stochastic system
• Risk-efficient sequential estimation of multivariate random coefficient autoregressive process
• On optimal adaptive prediction of multivariate autoregression

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