Parametric estimation of stationary stochastic processes under indirect observability

DOI10.1007/s10955-011-0253-4zbMath1225.82044MaRDI QIDQ637529

Ilya Timofeyev, Robert Azencott, Arjun Beri

Publication date: 6 September 2011

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10955-011-0253-4

zbMATH Keywords

Gaussian processes; adaptive sub-sampling; empirical covariance estimators; indirect observability; non vanishing lags

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

82C31: Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics

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