Maximum likelihood estimation of a nonparametric signal in white noise by optimal control

DOI10.1016/S0167-7152(01)00123-7zbMATH Open0987.62059OpenAlexW2157363161WikidataQ126862996 ScholiaQ126862996MaRDI QIDQ5956489FDOQ5956489

Authors: Grigori N. Milstein, Michael Nussbaum 

Publication date: 30 June 2002

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(01)00123-7

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zbMATH Keywords

maximum likelihoodextremal problemsiterative solutionssmoothness classes

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Non-Markovian processes: estimation (62M09) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving ordinary differential equations (49K15)

Cites Work

• Title not available (Why is that?)
• Rate of convergence of nonparametric estimates of maximum-likelihood type
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Cited In (1)

• Application of variational analysis and control theory to nonparametric maximum likelihood estimation of a density function

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