On one approach to estimation of parameters of a two-dimensional process of linear diffusion in nonstationary case

DOI10.1137/S0040585X97T987120zbMATH Open1320.62041OpenAlexW636916086MaRDI QIDQ5255342FDOQ5255342

Authors: A. N. Startsev 

Publication date: 15 June 2015

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97t987120

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zbMATH Keywords

parameter estimationasymptotic propertieslinear diffusionnonstationary casetwo-dimensional Gaussian process

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Gaussian processes (60G15) Stochastic processes (60G99)

Cites Work

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• Linear stochastic systems with constant coefficients. A statistical approach
• Maximum likelihood estimation for continuous-time stochastic processes
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Cited In (2)

• A new instrumental variable estimation for diffusion processes
• Estimation of some parameters of pseudo-Gaussian random processes

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