Maximum likelihood estimation for the reflected stochastic linear system with a large signal

DOI10.1214/23-BJPS571MaRDI QIDQ6137366zbMATH OpenOpenAlexFDO

Authors Xuekang Zhang, Huisheng Shu

Publication date 1 September 2023

Published in Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/23-bjps571

zbMATH Keywords

consistencymaximum likelihood estimationasymptotic distributionslaw of iterated logarithmlarge signalreflected stochastic linear system

Mathematics Subject Classification ID

Statistics (62-XX) Systems theory; control (93-XX)

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Cited in

(2)

• Trajectory fitting estimation for reflected stochastic linear differential equations of a large signal
• Maximum likelihood estimation of linear stochastic systems in the class of sequential square-root orthogonal filtering methods

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