Parameter estimation for kalman-bucy filter with small noise

DOI10.1080/02331889408802455zbMATH Open0811.62082OpenAlexW2018478173MaRDI QIDQ4763465FDOQ4763465

Authors: H. Pohlmann, Yu. A. Kutoyants 

Publication date: 10 April 1995

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331889408802455

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zbMATH Keywords

asymptotic normalityasymptotic expansionconsistencymaximum likelihood estimationpartially observed linear systempowers of diffusion coefficient

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes and prediction (62M20)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Expansion of a Maximum Likelihood Estimate by Diffusion Powers
• An Asymptotic Expansion for a Class of Estimators Containing Maximum Likelihood Estimators

Cited In (17)

• Local asymptotic normality and estimation via Kalman-Bucy filter for a linear system with signal driven by a fractional Brownian motion and observation driven by a Brownian motion
• Volatility estimation of hidden Markov processes and adaptive filtration
• Title not available (Why is that?)
• Small noise asymptotics of the Bayesian estimator in nonidentifiable models
• Asymptotic parameter estimation for a class of linear stochastic systems using Kalman-Bucy filtering
• Parameter estimation in linear filtering
• On parameter estimation of the hidden Ornstein-Uhlenbeck process
• On parameter estimation of the hidden Gaussian process in perturbed SDE
• Maximum Likelihood Estimation in Partially Observed Stochastic Differential System Driven by a Fractional Brownian Motion
• Title not available (Why is that?)
• Linear Kalman-Bucy filter with vector autoregressive signal and noise
• Parameter estimation of a signal from linear indirect observations
• Linear Kalman-Bucy filter with autoregressive signal and noise
• Title not available (Why is that?)
• Parameter estimation for continuous time hidden Markov processes
• Drift estimation of a certain class of diffusion processes from discrete observation
• Consistent parameter estimation for partially observed diffusions with small noise

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